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
mwindow	26
αARCH	0.2085	3.75***
βGARCH	0.5717	7.05***
γleverage	-0.0359	-0.55
λ₁tau intercept	5.5747	2.00**
λ₂forecast adj.	0.5588	2.14**
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.2085	3.75***
β GARCH Volatility persistence	0.5717	7.05***
γ leverage Additional response to negative shocks	-0.0359	-0.55
λ₁ tau intercept Baseline long-term coefficient	5.5747	2.00**
λ₂ forecast adj. Forecast performance sensitivity	0.5588	2.14**
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Hangzhou Prevail Optoelectronic Equipment Co., Ltd. MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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