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	2.6971	4.93***
α ARCH Response to squared shocks	0.2330	4.56***
β GARCH Volatility persistence	0.3646	3.65***

γ₁	3.3632	4.04***
γ₂	-5.7170	-3.90***
γ₃	4.0793	2.60***
γ₄	-2.0986	-1.19
γ₅	-0.9593	-0.54
γ₆	2.8503	1.80*
γ₇	-1.4078	-0.75
γ₈	0.1863	0.11
γ₉	-1.1613	-0.84
γ₁₀	1.0656	1.03

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

Date Range:

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