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
m window Rolling window length	121
α ARCH Response to squared shocks	0.1020	25.34***
β GARCH Volatility persistence	0.8786	208.20***
γ leverage Additional response to negative shocks	-0.0432	-11.14***
λ₁ tau intercept Baseline long-term coefficient	1.4723	0.75
λ₂ forecast adj. Forecast performance sensitivity	0.7908	0.77
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Sansteel Minguang Co Ltd Fujian MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sansteel Minguang Co Ltd Fujian Analyses