CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

HSI Volatility Index

CBOE EFA ETF Volatility Index

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
αARCH	0.1530	3.61***
βGARCH	0.8693	39.72***
γleverage	-0.0747	-0.76
λ₁tau intercept	16.2958	2.32**

Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.1530	3.61***
β GARCH Volatility persistence	0.8693	39.72***
γ leverage Additional response to negative shocks	-0.0747	-0.76
λ₁ tau intercept Baseline long-term coefficient	16.2958	2.32**

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Hevol Services Group Co Ltd MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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