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	0.7751	6.51***
α ARCH Response to squared shocks	0.1192	8.76***
β GARCH Volatility persistence	0.8099	37.08***

γ₁	0.1455	4.17***
γ₂	-0.2627	-4.86***
γ₃	0.1680	3.97***
γ₄	-0.0845	-2.17**
γ₅	0.0609	1.77*
γ₆	-0.0338	-1.44

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Liaoning Shidai Wanheng Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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