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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
ω const Unconditional variance weight	0.9245	3.55***
α ARCH Response to squared shocks	0.0929	2.10**
β GARCH Volatility persistence	0.8041	7.89***

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Contemporary Amperex Tech Co Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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