CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5819	14.67***
α ARCH Response to squared shocks	0.1327	13.38***
β GARCH Volatility persistence	0.7979	81.20***
γ leverage Additional response to negative shocks	0.0029	0.15

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Jiangyin Zhongnan Heavy Industries Co Ltd GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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