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	21
α ARCH Response to squared shocks	0.1636	17.33***
β GARCH Volatility persistence	0.4449	15.71***
γ leverage Additional response to negative shocks	0.0979	6.97***
λ₁ tau intercept Baseline long-term coefficient	0.2718	1.47
λ₂ forecast adj. Forecast performance sensitivity	0.1211	1.75*
λ₃ tau persistence Long-term factor persistence	0.8499	9.91***

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Wuxi Honghui New Materials Technology Co., Ltd. MF2-GARCH Volatility Analysis

Date Range:

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