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	26
αARCH	0.1773	7.47***
βGARCH	0.6408	17.07***
γleverage	-0.0497	-1.52
λ₁tau intercept	0.2025	2.07**
λ₂forecast adj.	0.0388	2.49**
λ₃tau persistence	0.9386	37.55***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.1773	7.47***
β GARCH Volatility persistence	0.6408	17.07***
γ leverage Additional response to negative shocks	-0.0497	-1.52
λ₁ tau intercept Baseline long-term coefficient	0.2025	2.07**
λ₂ forecast adj. Forecast performance sensitivity	0.0388	2.49**
λ₃ tau persistence Long-term factor persistence	0.9386	37.55***

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Jinbei Automotive Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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