CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	33.5889	6.81***
α ARCH Response to squared shocks	0.0614	60.21***
β GARCH Volatility persistence	0.9977	3,325.81***
ν DF Student-t tail thickness	3.9692	42.07***

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East Money Information Co Ltd GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

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