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	0.0430	1.72*
βGARCH	0.6820	11.20***
γleverage	0.0784	2.38**
λ₁tau intercept	0.0696	2.30**
λ₂forecast adj.	0.2391	3.15***
λ₃tau persistence	0.7378	8.87***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0430	1.72*
β GARCH Volatility persistence	0.6820	11.20***
γ leverage Additional response to negative shocks	0.0784	2.38**
λ₁ tau intercept Baseline long-term coefficient	0.0696	2.30**
λ₂ forecast adj. Forecast performance sensitivity	0.2391	3.15***
λ₃ tau persistence Long-term factor persistence	0.7378	8.87***

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Shanghai Shenzhen CSI 300 Index MF2-GARCH Volatility Analysis

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