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	0.9013	4.16***
α ARCH Response to squared shocks	0.1584	4.03***
β GARCH Volatility persistence	0.7252	13.03***

γ₁	-0.2634	-0.95
γ₂	0.5902	1.45
γ₃	-0.8183	-2.78***
γ₄	0.9129	2.81***
γ₅	-0.5644	-2.10**
γ₆	-0.0447	-0.20
γ₇	0.5123	2.41**
γ₈	-0.4649	-3.18***

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Jiangyin Zhongnan Heavy Industries Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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