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	1.6257	4.94***
α ARCH Response to squared shocks	0.0887	2.46**
β GARCH Volatility persistence	0.7242	6.41***

γ₁	3.0252	1.25
γ₂	-4.9244	-1.29
γ₃	2.8030	1.15
γ₄	-2.4045	-1.28
γ₅	4.1930	2.44**
γ₆	-3.0529	-1.48
γ₇	-2.5078	-1.15
γ₈	6.9630	4.25***
γ₉	-6.1217	-3.99***

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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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