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CBOE Emerging Market Markets Volatility Index

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CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2892	0.80
α ARCH Response to squared shocks	-0.0587	-2.01**
β GARCH Volatility persistence	0.9035	12.97***
γ leverage Additional response to negative shocks	-0.2202	-4.80***

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Shenzhen Zhaowei Machinery & Electronic Co Ltd EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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