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	6.8079	4.10***
α ARCH Response to squared shocks	0.0802	53.51***
β GARCH Volatility persistence	0.9928	582.29***
ν DF Student-t tail thickness	4.4949	17.79***

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Xiandai Investment Co Ltd GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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