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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	3.8907	3.55***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.6966	8.98***
γ leverage Additional response to negative shocks	0.3352	1.45

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Shenzhen Zhaowei Machinery & Electronic Co Ltd GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Shenzhen Zhaowei Machinery & Electronic Co Ltd Analyses