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	1.1164	5.64***
α ARCH Response to squared shocks	0.0917	6.99***
β GARCH Volatility persistence	0.8599	42.44***

γ₁	-0.1914	-4.01***
γ₂	0.3437	4.85***
γ₃	-0.2718	-4.84***
γ₄	0.2064	3.62***
γ₅	-0.1139	-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