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
αARCH	0.1698	4.92***
βGARCH	0.8067	23.65***
γleverage	-0.0644	-1.13
λ₁tau intercept	18.3039

Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.1698	4.92***
β GARCH Volatility persistence	0.8067	23.65***
γ leverage Additional response to negative shocks	-0.0644	-1.13
λ₁ tau intercept Baseline long-term coefficient	18.3039

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Inno Laser Technology Co Ltd MF2-GARCH Volatility Analysis

Date Range:

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