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	41
α ARCH Response to squared shocks	0.2121	27.21***
β GARCH Volatility persistence	0.6642	47.72***
γ leverage Additional response to negative shocks	-0.0393	-4.57***
λ₁ tau intercept Baseline long-term coefficient	0.1558	2.76***
λ₂ forecast adj. Forecast performance sensitivity	0.0582	2.99***
λ₃ tau persistence Long-term factor persistence	0.9244	36.32***

V-Lab

Modern Avenue Group Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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