CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	1.1887	9.29***
αARCH	0.1668	5.76***
βGARCH	0.7762	23.60***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1887	9.29***
α ARCH Response to squared shocks	0.1668	5.76***
β GARCH Volatility persistence	0.7762	23.60***

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Tianjin Pengling Rubber Hose Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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