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CBOE Emerging Market Markets Volatility Index

HSI Volatility Index

CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.0196	0.26
β GARCH Volatility persistence	0.9852	356.19***
γ leverage Additional response to negative shocks	-0.0196	-0.38
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.6147	0.22
λ₃ tau persistence Long-term factor persistence	0.2328	0.31

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Contemporary Amperex Tech Co MF2-GARCH Volatility Analysis

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