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	41
αARCH	0.1659	9.08***
βGARCH	0.7256	21.74***
γleverage	-0.0425	-1.87*
λ₁tau intercept	0.1512	1.46
λ₂forecast adj.	0.0678	1.84*
λ₃tau persistence	0.9146	19.39***

Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.1659	9.08***
β GARCH Volatility persistence	0.7256	21.74***
γ leverage Additional response to negative shocks	-0.0425	-1.87*
λ₁ tau intercept Baseline long-term coefficient	0.1512	1.46
λ₂ forecast adj. Forecast performance sensitivity	0.0678	1.84*
λ₃ tau persistence Long-term factor persistence	0.9146	19.39***

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Wolong New Energy Group Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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