CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{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	13.0982	1.10
αARCH	0.1217	6.41***
βGARCH	0.9763	43.70***
νDF	4.8711	2.13**

Parameter	Value	t-statistic
ω const Unconditional variance weight	13.0982	1.10
α ARCH Response to squared shocks	0.1217	6.41***
β GARCH Volatility persistence	0.9763	43.70***
ν DF Student-t tail thickness	4.8711	2.13**

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Tianjin Pengling Rubber Hose Co Ltd GAS-GARCH Student T Volatility Analysis

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News Impact Curve

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