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
ω const Unconditional variance weight	1.4789	3.33***
α ARCH Response to squared shocks	0.0895	1.72*
β GARCH Volatility persistence	0.0000	0.00

γ₁	26.4563	3.31***
γ₂	-32.9427	-2.73***
γ₃	-2.0653	-0.21
γ₄	19.9165	1.93*
γ₅	-17.1645	-1.52
γ₆	12.5443	0.89

V-Lab

Marketingforce Management Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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