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	0.0811	12.39***
α ARCH Response to squared shocks	0.0808	16.93***
β GARCH Volatility persistence	0.9267	358.09***
γ leverage Additional response to negative shocks	-0.0294	-4.11***

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

Date Range:

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