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	1.8080	2.70***
αARCH	0.1131	3.62***
βGARCH	0.7357	9.63***

γ₁	10.0411	3.31***
γ₂	-16.0894	-3.82***
γ₃	10.2811	4.16***
γ₄	-5.4222	-2.05**
γ₅	1.6390	0.55
γ₆	-2.7437	-0.95
γ₇	5.4326	2.21**
γ₈	-4.6589	-3.13***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8080	2.70***
α ARCH Response to squared shocks	0.1131	3.62***
β GARCH Volatility persistence	0.7357	9.63***

γ₁	10.0411	3.31***
γ₂	-16.0894	-3.82***
γ₃	10.2811	4.16***
γ₄	-5.4222	-2.05**
γ₅	1.6390	0.55
γ₆	-2.7437	-0.95
γ₇	5.4326	2.21**
γ₈	-4.6589	-3.13***

V-Lab

Inno Laser Technology Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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