V-Lab: CBOE China ETF Volatility Index MF2-GARCH Volatility Analysis

V-Lab

CBOE China ETF Volatility Index MF2-GARCH Volatility Analysis

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Analysis last updated: Saturday, September 3, 2022 at 05:01 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	51
$α$	0.2225	25.31
$β$	0.6836	46.21
$γ$	-0.1862	-11.95
$λ_{1}$	10.0000	1.17
$λ_{2}$	0.6562	1.65
$λ_{3}$	0.0000	0.00

Estimation Period:
Mar 16, 2011 to Feb 11, 2022

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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