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	0.0700	14.44***
α ARCH Response to squared shocks	0.2154	53.69***
β GARCH Volatility persistence	0.7758	190.95***
γ leverage Additional response to negative shocks	-0.0064	-0.90
δ power Transformation power	1.2248	12.69***

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Xiandai Investment Co Ltd Asy. Power MEM Volatility Analysis

Date Range:

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