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	0.2096	18.91***
β GARCH Volatility persistence	0.2799	7.42***
γ leverage Additional response to negative shocks	-0.0058	-0.38
λ₁ tau intercept Baseline long-term coefficient	1.0665	0.84
λ₂ forecast adj. Forecast performance sensitivity	0.2021	0.90
λ₃ tau persistence Long-term factor persistence	0.6592	1.73*

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Shandong Liancheng Precision Manufacturing Co., Ltd MF2-GARCH Volatility Analysis

Date Range:

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