CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{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	0.2025	5.66***
αARCH	0.0827	5.50***
βGARCH	0.8936	86.08***
γleverage	0.0080	0.32

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2025	5.66***
α ARCH Response to squared shocks	0.0827	5.50***
β GARCH Volatility persistence	0.8936	86.08***
γ leverage Additional response to negative shocks	0.0080	0.32

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Shanxi Xinghuacun Fen Wine Factory Co Ltd GJR-GARCH Volatility Analysis

Date Range:

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