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	0.1973	14.63***
β GARCH Volatility persistence	0.6389	24.37***
γ leverage Additional response to negative shocks	-0.0684	-4.76***
λ₁ tau intercept Baseline long-term coefficient	5.5985	0.83
λ₂ forecast adj. Forecast performance sensitivity	0.5426	0.88
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Hangzhou Prevail Optoelectronic Equipment Co., Ltd. MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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