CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

HSI Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	0.2406	1.32
αARCH	0.1318	3.16***
βGARCH	0.8509	24.12***
γleverage	-0.3222	-0.91
δpower	1.7282	3.78***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2406	1.32
α ARCH Response to squared shocks	0.1318	3.16***
β GARCH Volatility persistence	0.8509	24.12***
γ leverage Additional response to negative shocks	-0.3222	-0.91
δ power Transformation power	1.7282	3.78***

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Hevol Services Group Co Ltd APARCH Volatility Analysis

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