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	1.3926	4.24***
αARCH	0.1106	8.43***
βGARCH	0.8203	40.30***

γ₁	-0.0319	-0.98
γ₂	0.0755	1.64
γ₃	-0.0720	-3.16***
γ₄	0.0487	2.99***
γ₅	-0.0425	-2.84***
γ₆	0.0346	2.99***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3926	4.24***
α ARCH Response to squared shocks	0.1106	8.43***
β GARCH Volatility persistence	0.8203	40.30***

γ₁	-0.0319	-0.98
γ₂	0.0755	1.64
γ₃	-0.0720	-3.16***
γ₄	0.0487	2.99***
γ₅	-0.0425	-2.84***
γ₆	0.0346	2.99***

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Jinbei Automotive Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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