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

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3298	4.12***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9920	1.15

γ₁	6.2492	0.09
γ₂	-8.8520	-0.19
γ₃	4.7911	0.17
γ₄	-6.0764	-1.11
γ₅	9.6017	1.83*
γ₆	-10.0044	-1.22
γ₇	8.1464	0.80
γ₈	-6.3421	-0.89

V-Lab

Kuaishou Technology Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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