CBOE China ETF Volatility Index

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{name} Model Equation

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Param	Value	t-stat
ωconst	1.4606	2.71***
αARCH	0.2388	4.89***
βGARCH	0.4950	5.83***

γ₁	6.1827	1.66*
γ₂	-10.0434	-1.61
γ₃	2.6025	0.55
γ₄	6.6850	1.96*
γ₅	-9.9513	-4.63***
γ₆	8.1315	5.11***
γ₇	-7.6445	-4.89***
γ₈	7.8514	5.21***
γ₉	-4.3775	-2.30**
γ₁₀	-0.5200	-0.27

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4606	2.71***
α ARCH Response to squared shocks	0.2388	4.89***
β GARCH Volatility persistence	0.4950	5.83***

γ₁	6.1827	1.66*
γ₂	-10.0434	-1.61
γ₃	2.6025	0.55
γ₄	6.6850	1.96*
γ₅	-9.9513	-4.63***
γ₆	8.1315	5.11***
γ₇	-7.6445	-4.89***
γ₈	7.8514	5.21***
γ₉	-4.3775	-2.30**
γ₁₀	-0.5200	-0.27

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Hevol Services Group Co Ltd Analyses