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	0.0651	7.82***
β GARCH Volatility persistence	0.6876	11.37***
γ leverage Additional response to negative shocks	0.0619	5.87***
λ₁ tau intercept Baseline long-term coefficient	4.5497	0.32
λ₂ forecast adj. Forecast performance sensitivity	0.4241	0.30
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Zhejiang Walrus New Material Co Ltd MF2-GARCH Volatility Analysis

Date Range:

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