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	96
α ARCH Response to squared shocks	0.1361	25.22***
β GARCH Volatility persistence	0.7801	107.20***
γ leverage Additional response to negative shocks	0.0198	2.57**
λ₁ tau intercept Baseline long-term coefficient	1.5118	7.50***
λ₂ forecast adj. Forecast performance sensitivity	0.8151	22.52***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Zhejiang Kingland Pipeline & Technologies Co Ltd MF2-GARCH Volatility Analysis

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