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
ω const Unconditional variance weight	1.7978	3.92***
α ARCH Response to squared shocks	0.1410	11.07***
β GARCH Volatility persistence	0.8152	55.69***

γ₁	-0.0176	-0.78
γ₂	0.0921	2.70***
γ₃	-0.1512	-5.82***
γ₄	0.1195	4.97***
γ₅	-0.0484	-1.83*
γ₆	0.0021	0.10

V-Lab

Guangdong Shunna Electric Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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