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	2.1637	3.02***
αARCH	0.1410	4.26***
βGARCH	0.8463	33.67***
γleverage	-0.1380	-3.50***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.1637	3.02***
α ARCH Response to squared shocks	0.1410	4.26***
β GARCH Volatility persistence	0.8463	33.67***
γ leverage Additional response to negative shocks	-0.1380	-3.50***

V-Lab

HSI Volatility Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other HSI Volatility Index Analyses