CBOE China ETF Volatility Index

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{name} Model Equation

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Param	Value	t-stat
ωconst	1.4614	2.68***
αARCH	0.2240	4.79***
βGARCH	0.5213	6.07***

γ₁	6.1483	1.65*
γ₂	-9.9737	-1.59
γ₃	2.5447	0.54
γ₄	6.7066	1.96*
γ₅	-9.9451	-4.62***
γ₆	8.1224	5.12***
γ₇	-7.6428	-4.90***
γ₈	7.8661	5.23***
γ₉	-4.4098	-2.27**
γ₁₀	-0.5323	-0.27

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4614	2.68***
α ARCH Response to squared shocks	0.2240	4.79***
β GARCH Volatility persistence	0.5213	6.07***

γ₁	6.1483	1.65*
γ₂	-9.9737	-1.59
γ₃	2.5447	0.54
γ₄	6.7066	1.96*
γ₅	-9.9451	-4.62***
γ₆	8.1224	5.12***
γ₇	-7.6428	-4.90***
γ₈	7.8661	5.23***
γ₉	-4.4098	-2.27**
γ₁₀	-0.5323	-0.27

V-Lab

Hevol Services Group Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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