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	0.7754	6.61***
αARCH	0.1213	8.72***
βGARCH	0.8054	35.91***

γ₁	0.1447	4.26***
γ₂	-0.2622	-4.98***
γ₃	0.1696	4.12***
γ₄	-0.0880	-2.31**
γ₅	0.0672	1.97**
γ₆	-0.0407	-1.72*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7754	6.61***
α ARCH Response to squared shocks	0.1213	8.72***
β GARCH Volatility persistence	0.8054	35.91***

γ₁	0.1447	4.26***
γ₂	-0.2622	-4.98***
γ₃	0.1696	4.12***
γ₄	-0.0880	-2.31**
γ₅	0.0672	1.97**
γ₆	-0.0407	-1.72*

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Liaoning Shidai Wanheng Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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