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CBOE Emerging Market Markets Volatility Index

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CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	14.7267	2.50**
α ARCH Response to squared shocks	0.1742	8.94***
β GARCH Volatility persistence	0.8997	22.63***
ν DF Student-t tail thickness	2.5841	12.33***

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Luyuan Group Holding Cayman GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Luyuan Group Holding Cayman Analyses