CBOE China ETF Volatility Index

CBOE Emerging Market Markets 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
ωconst	1.0000	1.33
αARCH	0.0970	2.27**
βGARCH	0.8458	21.44***
γleverage	-0.4822	-1.45
δpower	1.6899	4.15***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	1.33
α ARCH Response to squared shocks	0.0970	2.27**
β GARCH Volatility persistence	0.8458	21.44***
γ leverage Additional response to negative shocks	-0.4822	-1.45
δ power Transformation power	1.6899	4.15***

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CBOE China ETF Volatility Index APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE China ETF Volatility Index Analyses