CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

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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	0.1722	3.09***
αARCH	0.2886	6.49***
βGARCH	0.9270	43.34***
γleverage	0.0295	0.67

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1722	3.09***
α ARCH Response to squared shocks	0.2886	6.49***
β GARCH Volatility persistence	0.9270	43.34***
γ leverage Additional response to negative shocks	0.0295	0.67

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