CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

HSI 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	0.6167	2.28**
αARCH	0.3563	3.31***
βGARCH	0.6820	12.41***
γleverage	-0.2267	-1.84*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6167	2.28**
α ARCH Response to squared shocks	0.3563	3.31***
β GARCH Volatility persistence	0.6820	12.41***
γ leverage Additional response to negative shocks	-0.2267	-1.84*

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Hevol Services Group Co Ltd Asy. MEM Volatility Analysis

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News Impact Curve

Volatility Forecast

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