CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

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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	13.2292	1.35
αARCH	0.1544	4.42***
βGARCH	0.9465	23.60***
νDF	4.5040	1.76*

Parameter	Value	t-statistic
ω const Unconditional variance weight	13.2292	1.35
α ARCH Response to squared shocks	0.1544	4.42***
β GARCH Volatility persistence	0.9465	23.60***
ν DF Student-t tail thickness	4.5040	1.76*

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Guangdong Dcenti Auto-Parts Stock Ltd Co GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

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