CBOE China ETF Volatility Index

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	46
α ARCH Response to squared shocks	0.0573	0.14
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	-0.0327	-0.14
λ₁ tau intercept Baseline long-term coefficient	9.0843	0.09
λ₂ forecast adj. Forecast performance sensitivity	0.4245	0.08
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

XtalPi Holdings Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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