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

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9211	3.58***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.0000	0.00

γ₁	474.1445	6.02***
γ₂	-742.7338	-6.14***
γ₃	443.4876	5.15***
γ₄	-294.1738	-4.09***
γ₅	163.6175	3.47***

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Inner Mongolia Shuangxin Environment-Friendly Material Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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