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	1.1179	5.67***
α ARCH Response to squared shocks	0.0914	6.98***
β GARCH Volatility persistence	0.8599	42.28***

γ₁	-0.1893	-4.02***
γ₂	0.3406	4.87***
γ₃	-0.2704	-4.88***
γ₄	0.2057	3.64***
γ₅	-0.1133	-2.64***

V-Lab

Sansteel Minguang Co Ltd Fujian Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sansteel Minguang Co Ltd Fujian Analyses