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	27.8448	0.86
αARCH	0.1200	5.39***
βGARCH	0.9759	36.49***
νDF	4.0665	2.28**

Parameter	Value	t-statistic
ω const Unconditional variance weight	27.8448	0.86
α ARCH Response to squared shocks	0.1200	5.39***
β GARCH Volatility persistence	0.9759	36.49***
ν DF Student-t tail thickness	4.0665	2.28**

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Inno Laser Technology Co Ltd GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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