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	71
α ARCH Response to squared shocks	0.2194	17.38***
β GARCH Volatility persistence	0.5757	14.86***
γ leverage Additional response to negative shocks	-0.1671	-7.97***
λ₁ tau intercept Baseline long-term coefficient	2.2610	0.11
λ₂ forecast adj. Forecast performance sensitivity	0.7783	0.10
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Luyuan Group Holding Cayman MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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