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
m window Rolling window length	46
α ARCH Response to squared shocks	0.0000	0.06
β GARCH Volatility persistence	0.0000	0.01
γ leverage Additional response to negative shocks	0.4052	24.96***
λ₁ tau intercept Baseline long-term coefficient	0.2917	0.13
λ₂ forecast adj. Forecast performance sensitivity	0.0624	1.05
λ₃ tau persistence Long-term factor persistence	0.9376	10.61***

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Shenzhen Zhaowei Machinery & Electronic Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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