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CBOE Emerging Market Markets Volatility Index

HSI Volatility Index

CBOE EFA ETF 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	56
α ARCH Response to squared shocks	0.0766	11.50***
β GARCH Volatility persistence	0.8734	94.30***
γ leverage Additional response to negative shocks	-0.0766	-11.69***
λ₁ tau intercept Baseline long-term coefficient	5.2891	1.18
λ₂ forecast adj. Forecast performance sensitivity	0.1460	4.04***
λ₃ tau persistence Long-term factor persistence	0.4827	1.67*

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XtalPi Holdings Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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