CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{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
mwindow	61
αARCH	0.1061	4.78***
βGARCH	0.7662	36.84***
γleverage	0.0619	2.08**
λ₁tau intercept	0.0199	1.81*
λ₂forecast adj.	0.0724	3.68***
λ₃tau persistence	0.9219	42.31***

Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.1061	4.78***
β GARCH Volatility persistence	0.7662	36.84***
γ leverage Additional response to negative shocks	0.0619	2.08**
λ₁ tau intercept Baseline long-term coefficient	0.0199	1.81*
λ₂ forecast adj. Forecast performance sensitivity	0.0724	3.68***
λ₃ tau persistence Long-term factor persistence	0.9219	42.31***

V-Lab

Shanghai Stock Exchange Composite Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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