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	1.5801	4.34***
α ARCH Response to squared shocks	0.0919	2.39**
β GARCH Volatility persistence	0.7072	6.37***

γ₁	2.9528	0.86
γ₂	-4.2967	-0.82
γ₃	1.3324	0.42
γ₄	-0.3238	-0.13
γ₅	0.4767	0.23
γ₆	2.1499	1.02
γ₇	-3.4062	-1.18
γ₈	-2.0892	-0.55
γ₉	9.0893	3.21***
γ₁₀	-9.0317	-6.97***

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Xi'An Peri Power Semiconductor Converting Technology Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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Parameter Estimates

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