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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	51
α ARCH Response to squared shocks	0.0119	1.34
β GARCH Volatility persistence	0.8821	20.03***
γ leverage Additional response to negative shocks	0.0419	5.39***
λ₁ tau intercept Baseline long-term coefficient	8.1768	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0348	0.00
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Giant Biogene Holding Co MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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