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

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Parameter	Value	t-statistic
ω const Unconditional variance weight	19.7379	4.28***
α ARCH Response to squared shocks	0.1533	37.43***
β GARCH Volatility persistence	0.9881	328.51***
ν DF Student-t tail thickness	6.1171	12.86***

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Modern Avenue Group Co Ltd GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Modern Avenue Group Co Ltd Analyses