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	1.7000	7.23***
α ARCH Response to squared shocks	0.0634	2.74***
β GARCH Volatility persistence	0.7442	7.61***

γ₁	-0.5913	-1.16
γ₂	1.8343	2.41**
γ₃	-2.0463	-3.99***
γ₄	1.4762	3.10***
γ₅	-1.6154	-3.35***
γ₆	1.7431	3.23***
γ₇	-1.5720	-2.52**
γ₈	1.8249	3.14***
γ₉	-1.5305	-2.49**
γ₁₀	0.4079	0.83

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Lens Technology Co.,Ltd. Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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