CBOE China ETF Volatility Index

CBOE Emerging Market Markets 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	26
α ARCH Response to squared shocks	0.0814	10.19***
β GARCH Volatility persistence	0.4518	11.71***
γ leverage Additional response to negative shocks	0.1546	12.20***
λ₁ tau intercept Baseline long-term coefficient	5.8657	0.41
λ₂ forecast adj. Forecast performance sensitivity	0.5470	0.42
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Shanghai Kinlita Chemical Co Ltd MF2-GARCH Volatility Analysis

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