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	21
α ARCH Response to squared shocks	0.1537	9.16***
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.1671	9.56***
λ₁ tau intercept Baseline long-term coefficient	1.7675	0.52
λ₂ forecast adj. Forecast performance sensitivity	0.3966	0.53
λ₃ tau persistence Long-term factor persistence	0.3951	0.34

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Jiangyin Zhongnan Heavy Industries Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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