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	66
αARCH	0.0883	4.47***
βGARCH	0.7450	28.21***
γleverage	0.0604	2.43**
λ₁tau intercept	0.4784	3.02***
λ₂forecast adj.	0.8228	8.74***
λ₃tau persistence	0.0563	0.62

Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0883	4.47***
β GARCH Volatility persistence	0.7450	28.21***
γ leverage Additional response to negative shocks	0.0604	2.43**
λ₁ tau intercept Baseline long-term coefficient	0.4784	3.02***
λ₂ forecast adj. Forecast performance sensitivity	0.8228	8.74***
λ₃ tau persistence Long-term factor persistence	0.0563	0.62

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Shenzhen Stock Exchange Composite Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Shenzhen Stock Exchange Composite Index Analyses