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	0.1044	12.49***
α ARCH Response to squared shocks	0.1015	17.87***
β GARCH Volatility persistence	0.9094	344.72***
γ leverage Additional response to negative shocks	-0.0436	-5.80***

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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