CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.1720	32.10***
β GARCH Volatility persistence	0.6954	93.45***
γ leverage Additional response to negative shocks	-0.0547	-9.58***
λ₁ tau intercept Baseline long-term coefficient	1.3514	2.99***
λ₂ forecast adj. Forecast performance sensitivity	0.8400	6.67***
λ₃ tau persistence Long-term factor persistence	0.0344	0.21

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Guangdong Shunna Electric Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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