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	1.0702	13.69***
α ARCH Response to squared shocks	0.2453	18.23***
β GARCH Volatility persistence	0.7243	82.16***
γ leverage Additional response to negative shocks	-0.0677	-2.86***

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Capitalonline Data Service Co Ltd Asy. MEM Volatility Analysis

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News Impact Curve

Volatility Forecast

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