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	0.1613	17.25***
β GARCH Volatility persistence	0.4478	16.04***
γ leverage Additional response to negative shocks	0.1003	7.16***
λ₁ tau intercept Baseline long-term coefficient	0.2597	1.49
λ₂ forecast adj. Forecast performance sensitivity	0.1160	1.78*
λ₃ tau persistence Long-term factor persistence	0.8561	10.59***

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

Date Range:

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