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	1.2394	4.12***
αARCH	0.1847	3.59***
βGARCH	0.7376	16.40***
γleverage	-0.0207	-0.23

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2394	4.12***
α ARCH Response to squared shocks	0.1847	3.59***
β GARCH Volatility persistence	0.7376	16.40***
γ leverage Additional response to negative shocks	-0.0207	-0.23

V-Lab

Hangzhou Prevail Optoelectronic Equipment Co., Ltd. GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Hangzhou Prevail Optoelectronic Equipment Co., Ltd. Analyses