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	1.3827	4.20***
αARCH	0.1131	8.50***
βGARCH	0.8152	39.28***

γ₁	-0.0320	-0.98
γ₂	0.0754	1.65*
γ₃	-0.0718	-3.18***
γ₄	0.0486	3.01***
γ₅	-0.0422	-2.85***
γ₆	0.0343	3.00***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3827	4.20***
α ARCH Response to squared shocks	0.1131	8.50***
β GARCH Volatility persistence	0.8152	39.28***

γ₁	-0.0320	-0.98
γ₂	0.0754	1.65*
γ₃	-0.0718	-3.18***
γ₄	0.0486	3.01***
γ₅	-0.0422	-2.85***
γ₆	0.0343	3.00***

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Jinbei Automotive Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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