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	26
αARCH	0.0435	1.73*
βGARCH	0.6826	11.21***
γleverage	0.0787	2.38**
λ₁tau intercept	0.0667	2.29**
λ₂forecast adj.	0.2292	3.14***
λ₃tau persistence	0.7491	9.36***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0435	1.73*
β GARCH Volatility persistence	0.6826	11.21***
γ leverage Additional response to negative shocks	0.0787	2.38**
λ₁ tau intercept Baseline long-term coefficient	0.0667	2.29**
λ₂ forecast adj. Forecast performance sensitivity	0.2292	3.14***
λ₃ tau persistence Long-term factor persistence	0.7491	9.36***

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Shanghai Shenzhen CSI 300 Index MF2-GARCH Volatility Analysis

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