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	1.6889	4.95***
αARCH	0.0939	8.23***
βGARCH	0.8303	39.15***

γ₁	-0.0054	-0.12
γ₂	0.0013	0.02
γ₃	0.0849	2.27**
γ₄	-0.1666	-5.27***
γ₅	0.1299	4.13***
γ₆	-0.0483	-1.63
γ₇	-0.0297	-0.98
γ₈	0.0608	2.53**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6889	4.95***
α ARCH Response to squared shocks	0.0939	8.23***
β GARCH Volatility persistence	0.8303	39.15***

γ₁	-0.0054	-0.12
γ₂	0.0013	0.02
γ₃	0.0849	2.27**
γ₄	-0.1666	-5.27***
γ₅	0.1299	4.13***
γ₆	-0.0483	-1.63
γ₇	-0.0297	-0.98
γ₈	0.0608	2.53**

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