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	0.8997	11.95***
α ARCH Response to squared shocks	0.1688	11.70***
β GARCH Volatility persistence	0.8193	91.59***
γ leverage Additional response to negative shocks	-0.0684	-2.85***

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Inno Laser Technology Co Ltd GJR-GARCH Volatility Analysis

Date Range:

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