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	2.7341	4.99***
α ARCH Response to squared shocks	0.2320	4.52***
β GARCH Volatility persistence	0.3647	3.63***

γ₁	3.4731	4.13***
γ₂	-5.8772	-3.95***
γ₃	4.1514	2.61***
γ₄	-2.1173	-1.20
γ₅	-0.9478	-0.54
γ₆	2.7599	1.79*
γ₇	-1.2595	-0.69
γ₈	0.1030	0.07
γ₉	-1.1376	-0.82
γ₁₀	1.0348	0.99

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Strong H Machinery Technology Cayman Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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