CBOE China ETF Volatility Index EGARCH Volatility Analysis
Inactive
Last recorded values (Monday, February 14th, 2022):
1 Day
105.23%
1 Week
103.91%
1 Month
100.11%
Analysis last updated: Wednesday, September 2, 2026 at 03:48 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
This asset shows a rare inverse leverage effect: volatility responds almost entirely to positive returns, rising far more after gains than after losses. This is the reverse of the usual leverage effect, rare among risky assets.
σ
EGARCH Model
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Inverse leverage: volatility responds almost entirely to positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.1592 | 2.17** |
| αARCH | 0.1786 | 2.83*** |
| βGARCH | 0.9544 | 55.15*** |
| γleverage | 0.1337 | 3.00*** |
0.954
Persistence15d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1592 | 2.17** |
α ARCH Response to squared shocks | 0.1786 | 2.83*** |
β GARCH Volatility persistence | 0.9544 | 55.15*** |
γ leverage Additional response to negative shocks | 0.1337 | 3.00*** |
Persistence:
0.954
Half-life:
15 days
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