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	0.0815	12.44***
α ARCH Response to squared shocks	0.0807	16.91***
β GARCH Volatility persistence	0.9270	359.01***
γ leverage Additional response to negative shocks	-0.0297	-4.15***

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Jiangsu Guotai International Group Guomao Co Ltd GJR-GARCH Volatility Analysis

Date Range:

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