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
ω const Unconditional variance weight	1.0000	1.05
α ARCH Response to squared shocks	0.0826	0.00
β GARCH Volatility persistence	0.7746	32.56***
γ leverage Additional response to negative shocks	1.0000	0.00
δ power Transformation power	2.2250	4.68***

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Shenzhen Zhaowei Machinery & Electronic Co Ltd APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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