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	0.1388	0.33
αARCH	0.1644	5.83***
βGARCH	0.8037	30.87***
γleverage	-1.3733	-1.23

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1388	0.33
α ARCH Response to squared shocks	0.1644	5.83***
β GARCH Volatility persistence	0.8037	30.87***
γ leverage Additional response to negative shocks	-1.3733	-1.23

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Hevol Services Group Co Ltd AGARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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