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

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.3405	4.09***
β GARCH Volatility persistence	0.1043	2.67***
γ leverage Additional response to negative shocks	-0.3405	-4.04***
λ₁ tau intercept Baseline long-term coefficient	7.6044	0.05
λ₂ forecast adj. Forecast performance sensitivity	0.0392	0.06
λ₃ tau persistence Long-term factor persistence	0.6535	0.10

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Marketingforce Management MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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