CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0444	2.18**
β GARCH Volatility persistence	0.9065	11.77***
γ leverage Additional response to negative shocks	-0.0444	-1.93*
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.6064	0.00

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Kuaishou Technology MF2-GARCH Volatility Analysis

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