CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	14.0392	1.08
αARCH	0.0778	4.69***
βGARCH	0.9764	45.76***
νDF	4.5913	1.43

Parameter	Value	t-statistic
ω const Unconditional variance weight	14.0392	1.08
α ARCH Response to squared shocks	0.0778	4.69***
β GARCH Volatility persistence	0.9764	45.76***
ν DF Student-t tail thickness	4.5913	1.43

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Anhui Tatfook Technology Co Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

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