HSI Volatility Index

CBOE EFA ETF Volatility Index

How volatility evolves over time

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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	0.2077	1.58
αARCH	0.1234	3.20***
βGARCH	0.9391	38.08***
γleverage	0.1290	2.67***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2077	1.58
α ARCH Response to squared shocks	0.1234	3.20***
β GARCH Volatility persistence	0.9391	38.08***
γ leverage Additional response to negative shocks	0.1290	2.67***

V-Lab

HSI Volatility Index EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other HSI Volatility Index Analyses