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	0.4688	13.73***
α ARCH Response to squared shocks	0.1468	18.15***
β GARCH Volatility persistence	0.8014	146.19***
γ leverage Additional response to negative shocks	0.0197	1.43

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Modern Avenue Group Co Ltd Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Modern Avenue Group Co Ltd Analyses