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	1.6872	4.94***
αARCH	0.0936	8.18***
βGARCH	0.8309	39.03***

γ₁	-0.0058	-0.13
γ₂	0.0010	0.02
γ₃	0.0878	2.33**
γ₄	-0.1707	-5.35***
γ₅	0.1312	4.15***
γ₆	-0.0428	-1.40
γ₇	-0.0472	-1.39
γ₈	0.1084	2.15**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6872	4.94***
α ARCH Response to squared shocks	0.0936	8.18***
β GARCH Volatility persistence	0.8309	39.03***

γ₁	-0.0058	-0.13
γ₂	0.0010	0.02
γ₃	0.0878	2.33**
γ₄	-0.1707	-5.35***
γ₅	0.1312	4.15***
γ₆	-0.0428	-1.40
γ₇	-0.0472	-1.39
γ₈	0.1084	2.15**

V-Lab

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

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