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	0.3312	1.82*
αARCH	0.2227	2.78***
βGARCH	0.8333	25.20***
γleverage	-0.1512	-1.50

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3312	1.82*
α ARCH Response to squared shocks	0.2227	2.78***
β GARCH Volatility persistence	0.8333	25.20***
γ leverage Additional response to negative shocks	-0.1512	-1.50

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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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