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	0.5554	14.23***
α ARCH Response to squared shocks	0.1004	12.65***
β GARCH Volatility persistence	0.8739	165.17***
γ leverage Additional response to negative shocks	-0.0286	-2.35**

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Wenzhou Yihua Connector Co., Ltd. GJR-GARCH Volatility Analysis

Date Range:

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