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	0.8159	3.28***
α ARCH Response to squared shocks	0.1616	6.85***
β GARCH Volatility persistence	0.7722	25.23***

γ₁	-0.1997	-0.37
γ₂	-0.0568	-0.07
γ₃	0.7622	1.52
γ₄	-1.2754	-2.73***
γ₅	1.4446	3.22***
γ₆	-1.2327	-3.39***
γ₇	1.2471	3.42***
γ₈	-1.5071	-3.04***
γ₉	1.7548	3.10***
γ₁₀	-1.4094	-3.52***

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Zhejiang Kingland Pipeline & Technologies Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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