CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3129	6.35***
α ARCH Response to squared shocks	0.2698	32.25***
β GARCH Volatility persistence	0.7045	80.09***
γ leverage Additional response to negative shocks	0.0203	1.63
δ power Transformation power	1.3572	10.18***

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Zhejiang MTCN Technology Co Ltd Asy. Power MEM Volatility Analysis

Date Range:

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