CBOE China ETF Volatility Index

CBOE Emerging Market Markets 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
ωconst	26.3269	1.20
αARCH	0.0959	8.97***
βGARCH	0.9919	176.71***
νDF	4.1247	3.69***

Parameter	Value	t-statistic
ω const Unconditional variance weight	26.3269	1.20
α ARCH Response to squared shocks	0.0959	8.97***
β GARCH Volatility persistence	0.9919	176.71***
ν DF Student-t tail thickness	4.1247	3.69***

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