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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
ω const Unconditional variance weight	1.1382	1.58
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8931	1.58

γ₁	18.8939	2.65***
γ₂	-31.4176	-3.52***
γ₃	17.3638	3.74***
γ₄	-3.3592	-0.60
γ₅	-3.2410	-0.76

V-Lab

Marketingforce Management Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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