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

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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	0.3394	1.80*
αARCH	0.2397	2.87***
βGARCH	0.8275	23.97***
γleverage	-0.1648	-1.57

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3394	1.80*
α ARCH Response to squared shocks	0.2397	2.87***
β GARCH Volatility persistence	0.8275	23.97***
γ leverage Additional response to negative shocks	-0.1648	-1.57

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Hevol Services Group Co Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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