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	10.4473	1.42
αARCH	0.1051	7.34***
βGARCH	0.9781	63.26***
νDF	4.6475	2.79***

Parameter	Value	t-statistic
ω const Unconditional variance weight	10.4473	1.42
α ARCH Response to squared shocks	0.1051	7.34***
β GARCH Volatility persistence	0.9781	63.26***
ν DF Student-t tail thickness	4.6475	2.79***

V-Lab

Liaoning Shidai Wanheng Co Ltd GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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