CBOE China ETF Volatility Index

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{name} Model Equation

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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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Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	1.66*
α ARCH Response to squared shocks	0.2317	2.79***
β GARCH Volatility persistence	0.6194	8.60***
γ leverage Additional response to negative shocks	0.2573	1.08

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Global Mofy AI Ltd Asy. MEM Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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