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	66.0928	1.62
αARCH	0.1292	16.51***
βGARCH	0.9978	808.62***
νDF	3.3606	13.22***

Parameter	Value	t-statistic
ω const Unconditional variance weight	66.0928	1.62
α ARCH Response to squared shocks	0.1292	16.51***
β GARCH Volatility persistence	0.9978	808.62***
ν DF Student-t tail thickness	3.3606	13.22***

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