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	0.1050	12.53***
α ARCH Response to squared shocks	0.1018	17.90***
β GARCH Volatility persistence	0.9092	344.39***
γ leverage Additional response to negative shocks	-0.0439	-5.82***

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Sansteel Minguang Co Ltd Fujian GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sansteel Minguang Co Ltd Fujian Analyses