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
ωconst	0.4888	3.46***
αARCH	0.1109	8.08***
βGARCH	0.8660	65.69***

γ₁	-0.1095	-5.74***
γ₂	0.1684	6.11***
γ₃	-0.0999	-6.18***
γ₄	0.0667	4.51***
γ₅	-0.0318	-2.54**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4888	3.46***
α ARCH Response to squared shocks	0.1109	8.08***
β GARCH Volatility persistence	0.8660	65.69***

γ₁	-0.1095	-5.74***
γ₂	0.1684	6.11***
γ₃	-0.0999	-6.18***
γ₄	0.0667	4.51***
γ₅	-0.0318	-2.54**

V-Lab

Shanghai Stock Exchange Composite Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Shanghai Stock Exchange Composite Index Analyses