CBOE China ETF Volatility Index GJR-GARCH Volatility Analysis
Inactive
Last recorded values (Monday, February 14th, 2022):
1 Day
99.08%
1 Week
97.61%
1 Month
93.54%
Analysis last updated: Saturday, September 3, 2022 at 04:59 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 1.8754 | 12.04 | |
| 0.1822 | 13.00 | |
| 0.8285 | 84.83 | |
| -0.1493 | -9.23 |
Estimation Period:
Mar 16, 2011 to Feb 11, 2022
Mar 16, 2011 to Feb 11, 2022
Other CBOE China ETF Volatility Index Analyses
Other GJR-GARCH Analyses on Volatility Indices