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
ωlong-run	10.5806	1.83*
αscore	0.1165	7.40***
βpersistence	0.9747	69.30***
νDF	5.3871	2.38**

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	10.5806	1.83*
α score Weight on the scaled score	0.1165	7.40***
β persistence Volatility persistence	0.9747	69.30***
ν DF Student-t tail thickness	5.3871	2.38**

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

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