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	1.4413	3.79***
αARCH	0.1056	7.80***
βGARCH	0.8529	50.17***

γ₁	-0.0317	-1.41
γ₂	0.0655	1.89*
γ₃	-0.0569	-2.57**
γ₄	0.0364	2.33**
γ₅	-0.0164	-1.49

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4413	3.79***
α ARCH Response to squared shocks	0.1056	7.80***
β GARCH Volatility persistence	0.8529	50.17***

γ₁	-0.0317	-1.41
γ₂	0.0655	1.89*
γ₃	-0.0569	-2.57**
γ₄	0.0364	2.33**
γ₅	-0.0164	-1.49

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Shenzhen Stock Exchange Composite Index Analyses