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

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1283	10.82***
α ARCH Response to squared shocks	0.2532	33.82***
β GARCH Volatility persistence	0.7024	77.70***
γ leverage Additional response to negative shocks	-0.0004	-0.03
δ power Transformation power	0.5692	9.04***

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Hangzhou Radical Energy Saving Technology Co Ltd Asy. Power MEM Volatility Analysis

Date Range:

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