CBOE China ETF Volatility Index AGARCH Volatility Analysis
Inactive
Last recorded values (Monday, February 14th, 2022):
1 Day
79.59%
1 Week
81.06%
1 Month
84.89%
Analysis last updated: Wednesday, September 2, 2026 at 03:47 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 16, 2011 to Feb 11, 2022Model Insight
The news-impact curve is shifted (γ = -3.41) so that positive returns raise next-day volatility more than negative returns of the same size. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and rare among risky assets.
σ
AGARCH Model
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Asymmetry: positive returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.8217 | 1.00 |
| αARCH | 0.1099 | 4.35*** |
| βGARCH | 0.8264 | 26.98*** |
| γleverage | -3.4109 | -2.85*** |
0.936
Persistence11d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8217 | 1.00 |
α ARCH Response to squared shocks | 0.1099 | 4.35*** |
β GARCH Volatility persistence | 0.8264 | 26.98*** |
γ leverage Additional response to negative shocks | -3.4109 | -2.85*** |
Persistence:
0.936
Half-life:
11 days
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