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	66
α ARCH Response to squared shocks	0.1258	19.03***
β GARCH Volatility persistence	0.7539	72.58***
γ leverage Additional response to negative shocks	-0.0258	-3.47***
λ₁ tau intercept Baseline long-term coefficient	2.9508	0.32
λ₂ forecast adj. Forecast performance sensitivity	0.7906	0.33
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Wenzhou Yihua Connector Co., Ltd. MF2-GARCH Volatility Analysis

Date Range:

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