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	13.8424	0.87
αARCH	0.1080	5.35***
βGARCH	0.9724	28.30***
νDF	4.1542	1.92*

Parameter	Value	t-statistic
ω const Unconditional variance weight	13.8424	0.87
α ARCH Response to squared shocks	0.1080	5.35***
β GARCH Volatility persistence	0.9724	28.30***
ν DF Student-t tail thickness	4.1542	1.92*

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Jiangsu Ankura Intelligent Power Co Ltd GAS-GARCH Student T Volatility Analysis

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