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	0.4805	12.10***
α ARCH Response to squared shocks	0.1729	16.39***
β GARCH Volatility persistence	0.7924	99.86***
γ leverage Additional response to negative shocks	-0.0323	-1.83*

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Modern Avenue Group Co Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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