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	1.4081	6.59***
αARCH	0.1883	5.10***
βGARCH	0.7021	14.59***

γ₁	0.0769	2.73***
γ₂	-0.0983	-2.74***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4081	6.59***
α ARCH Response to squared shocks	0.1883	5.10***
β GARCH Volatility persistence	0.7021	14.59***

γ₁	0.0769	2.73***
γ₂	-0.0983	-2.74***

V-Lab

Hangzhou Prevail Optoelectronic Equipment Co., Ltd. Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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