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	0.9144	5.15***
α ARCH Response to squared shocks	0.1032	8.22***
β GARCH Volatility persistence	0.8495	45.35***

γ₁	-0.0102	-0.19
γ₂	0.0757	1.00
γ₃	-0.1962	-4.42***
γ₄	0.2368	5.59***
γ₅	-0.1720	-3.99***
γ₆	0.1316	3.19***
γ₇	-0.0985	-3.31***

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Beijing Dalong Weiye Real Estate Development Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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