HSI Volatility Index

CBOE EFA ETF Volatility Index

How volatility evolves over time

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How returns affect tomorrow's volatility

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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	2.2068	3.02***
αARCH	0.1414	4.25***
βGARCH	0.8455	33.38***
γleverage	-0.1396	-3.53***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.2068	3.02***
α ARCH Response to squared shocks	0.1414	4.25***
β GARCH Volatility persistence	0.8455	33.38***
γ leverage Additional response to negative shocks	-0.1396	-3.53***

V-Lab

HSI Volatility Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other HSI Volatility Index Analyses