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	1.9076	4.48***
α ARCH Response to squared shocks	0.1611	4.95***
β GARCH Volatility persistence	0.6982	11.04***

γ₁	1.1446	2.17**
γ₂	-1.9716	-2.59***
γ₃	1.8661	3.54***
γ₄	-1.7229	-3.11***
γ₅	0.5158	0.84
γ₆	1.0508	1.71*
γ₇	-1.9013	-3.41***
γ₈	1.4952	3.45***

V-Lab

Wuxi Honghui New Materials Technology Co., Ltd. Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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