CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{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	0.9185	3.47***
αARCH	0.1176	4.07***
βGARCH	0.7315	12.15***

γ₁	-0.1126	-0.35
γ₂	0.2905	0.70
γ₃	-0.4997	-2.75***
γ₄	0.7376	4.47***
γ₅	-0.6281	-5.19***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9185	3.47***
α ARCH Response to squared shocks	0.1176	4.07***
β GARCH Volatility persistence	0.7315	12.15***

γ₁	-0.1126	-0.35
γ₂	0.2905	0.70
γ₃	-0.4997	-2.75***
γ₄	0.7376	4.47***
γ₅	-0.6281	-5.19***

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Jiangsu Ankura Intelligent Power Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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