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	4.9192	6.12***
α ARCH Response to squared shocks	0.2190	2.51**
β GARCH Volatility persistence	0.0800	0.67

γ₁	25.6499	6.96***
γ₂	-32.7847	-4.91***
γ₃	11.8507	1.71*
γ₄	-7.5370	-1.19
γ₅	5.7745	0.91
γ₆	-9.8096	-1.42
γ₇	12.0218	1.99**
γ₈	-1.5002	-0.32
γ₉	-7.5917	-2.35**

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Gdh Supertime Group Company Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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