CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

HSI Volatility Index

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How volatility evolves over time

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{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
ωconst	64.1466	1.59
αARCH	0.1305	16.48***
βGARCH	0.9978	771.08***
νDF	3.3890	12.79***

Parameter	Value	t-statistic
ω const Unconditional variance weight	64.1466	1.59
α ARCH Response to squared shocks	0.1305	16.48***
β GARCH Volatility persistence	0.9978	771.08***
ν DF Student-t tail thickness	3.3890	12.79***

V-Lab

Hevol Services Group Co Ltd GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Hevol Services Group Co Ltd Analyses