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	2.7061	4.94***
α ARCH Response to squared shocks	0.2317	4.50***
β GARCH Volatility persistence	0.3621	3.57***

γ₁	3.4485	4.09***
γ₂	-5.8493	-3.93***
γ₃	4.1472	2.62***
γ₄	-2.1149	-1.20
γ₅	-0.9519	-0.54
γ₆	2.7618	1.80*
γ₇	-1.2527	-0.69
γ₈	0.0861	0.06
γ₉	-1.1010	-0.79
γ₁₀	0.9941	0.93

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

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