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	1.0769	5.12***
α ARCH Response to squared shocks	0.1637	8.61***
β GARCH Volatility persistence	0.7810	26.42***

γ₁	0.0674	1.64
γ₂	-0.1312	-2.32**
γ₃	0.0945	3.45***

V-Lab

Modern Avenue Group Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Modern Avenue Group Co Ltd Analyses