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	10.4719	1.30
αARCH	0.0716	8.12***
βGARCH	0.9864	97.10***
νDF	4.8853	2.32**

Parameter	Value	t-statistic
ω const Unconditional variance weight	10.4719	1.30
α ARCH Response to squared shocks	0.0716	8.12***
β GARCH Volatility persistence	0.9864	97.10***
ν DF Student-t tail thickness	4.8853	2.32**

V-Lab

Shanxi Xinghuacun Fen Wine Factory Co Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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