HSI Volatility Index

CBOE EFA ETF Volatility Index

CBOE Volatility Index

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CBOE Russell 2000 Volatility Index

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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.0070	0.32
αARCH	0.0318	1.69*
βGARCH	0.9994	203.76***
γleverage	-0.0353	-3.27***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0070	0.32
α ARCH Response to squared shocks	0.0318	1.69*
β GARCH Volatility persistence	0.9994	203.76***
γ leverage Additional response to negative shocks	-0.0353	-3.27***

V-Lab

Regencell Bioscience Hol Ltd EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Regencell Bioscience Hol Ltd Analyses