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	76
α ARCH Response to squared shocks	0.0662	12.28***
β GARCH Volatility persistence	0.7875	47.20***
γ leverage Additional response to negative shocks	-0.0006	-0.07
λ₁ tau intercept Baseline long-term coefficient	3.1512	0.81
λ₂ forecast adj. Forecast performance sensitivity	0.6958	1.16
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Lens Technology Co.,Ltd. MF2-GARCH Volatility Analysis

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