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	1.4827	2.74***
αARCH	0.2235	4.74***
βGARCH	0.5141	5.82***

γ₁	6.2733	1.71*
γ₂	-10.1225	-1.64
γ₃	2.5476	0.54
γ₄	6.7841	2.00**
γ₅	-10.0553	-4.70***
γ₆	8.1551	5.22***
γ₇	-7.4433	-4.97***
γ₈	7.2473	4.89***
γ₉	-2.9963	-1.07
γ₁₀	-4.3441	-0.82

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4827	2.74***
α ARCH Response to squared shocks	0.2235	4.74***
β GARCH Volatility persistence	0.5141	5.82***

γ₁	6.2733	1.71*
γ₂	-10.1225	-1.64
γ₃	2.5476	0.54
γ₄	6.7841	2.00**
γ₅	-10.0553	-4.70***
γ₆	8.1551	5.22***
γ₇	-7.4433	-4.97***
γ₈	7.2473	4.89***
γ₉	-2.9963	-1.07
γ₁₀	-4.3441	-0.82

V-Lab

Hevol Services Group Co Ltd Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Hevol Services Group Co Ltd Analyses