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	0.0495	12.66***
α ARCH Response to squared shocks	0.2104	58.03***
β GARCH Volatility persistence	0.7869	174.20***
γ leverage Additional response to negative shocks	-0.0248	-3.24***
δ power Transformation power	0.8144	8.15***

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Jiangsu Guotai International Group Guomao Co Ltd Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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