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	0.9361	5.18***
αARCH	0.0676	5.56***
βGARCH	0.9183	66.86***

γ₁	-0.0463	-3.42***
γ₂	0.0730	3.41***
γ₃	-0.0364	-1.46

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9361	5.18***
α ARCH Response to squared shocks	0.0676	5.56***
β GARCH Volatility persistence	0.9183	66.86***

γ₁	-0.0463	-3.42***
γ₂	0.0730	3.41***
γ₃	-0.0364	-1.46

V-Lab

Shanghai Shenzhen CSI 300 Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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