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	1.1946	5.79***
α ARCH Response to squared shocks	0.1103	6.76***
β GARCH Volatility persistence	0.8234	32.99***

γ₁	-0.0016	-0.03
γ₂	0.1502	1.74*
γ₃	-0.3390	-5.65***
γ₄	0.2782	4.02***
γ₅	-0.1087	-1.37
γ₆	-0.0013	-0.02
γ₇	0.0681	0.98
γ₈	-0.0581	-1.26

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Xiandai Investment Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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