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	2.2919	6.67***
α ARCH Response to squared shocks	0.1672	4.16***
β GARCH Volatility persistence	0.5828	6.23***

γ₁	2.4095	1.95*
γ₂	-2.4923	-1.26
γ₃	-0.7522	-0.52
γ₄	3.3784	2.67***
γ₅	-5.7302	-4.51***
γ₆	4.8170	2.95***
γ₇	1.2017	0.60

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Zhejiang MTCN Technology Co Ltd Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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