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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

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7678	7.92***
α ARCH Response to squared shocks	0.1620	7.61***
β GARCH Volatility persistence	0.7493	39.08***
γ leverage Additional response to negative shocks	0.0260	0.69

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Luyuan Group Holding Cayman GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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