CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

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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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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5739	3.47***
α ARCH Response to squared shocks	0.1772	2.95***
β GARCH Volatility persistence	0.7990	26.40***
γ leverage Additional response to negative shocks	-0.0573	-0.69

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Tianjin Pengling Rubber Hose Co Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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