CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

DAX Volatility Index

CBOE EFA ETF Volatility Index

EURO STOXX 50 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
ωlong-run	23.5097	6.29***
αscore	0.1457	0.44
βpersistence	0.4517	0.86
νDF	87.0446	0.01

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	23.5097	6.29***
α score Weight on the scaled score	0.1457	0.44
β persistence Volatility persistence	0.4517	0.86
ν DF Student-t tail thickness	87.0446	0.01

V-Lab

XtalPi Holdings Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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