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
ω const Unconditional variance weight	0.5764	13.91***
α ARCH Response to squared shocks	0.1775	11.80***
β GARCH Volatility persistence	0.7986	105.30***
γ leverage Additional response to negative shocks	-0.0576	-2.77***

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Tianjin Pengling Rubber Hose Co Ltd GJR-GARCH Volatility Analysis

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News Impact Curve

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Parameter Estimates

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