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	1.2004	7.77***
αARCH	0.0983	8.32***
βGARCH	0.8748	57.14***

γ₁	-0.0077	-1.87*
γ₂	0.0126	2.38**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2004	7.77***
α ARCH Response to squared shocks	0.0983	8.32***
β GARCH Volatility persistence	0.8748	57.14***

γ₁	-0.0077	-1.87*
γ₂	0.0126	2.38**

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Yunnan Chihong Zinc & Germanium Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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