CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

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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	0.2041	5.68***
αARCH	0.0828	5.50***
βGARCH	0.8933	85.88***
γleverage	0.0080	0.32

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2041	5.68***
α ARCH Response to squared shocks	0.0828	5.50***
β GARCH Volatility persistence	0.8933	85.88***
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:

News Impact Curve

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