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
mwindow	26
αARCH	0.0662	5.10***
βGARCH	0.8533	27.35***
γleverage	-0.0087	-0.51
λ₁tau intercept	0.0123	2.15**
λ₂forecast adj.	0.0452	3.26***
λ₃tau persistence	0.9481	60.90***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0662	5.10***
β GARCH Volatility persistence	0.8533	27.35***
γ leverage Additional response to negative shocks	-0.0087	-0.51
λ₁ tau intercept Baseline long-term coefficient	0.0123	2.15**
λ₂ forecast adj. Forecast performance sensitivity	0.0452	3.26***
λ₃ tau persistence Long-term factor persistence	0.9481	60.90***

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China Yangtze Power Co Ltd MF2-GARCH Volatility Analysis

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