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	0.7764	6.48***
α ARCH Response to squared shocks	0.1190	8.75***
β GARCH Volatility persistence	0.8109	37.22***

γ₁	0.1467	4.15***
γ₂	-0.2642	-4.82***
γ₃	0.1681	3.91***
γ₄	-0.0839	-2.13**
γ₅	0.0605	1.74*
γ₆	-0.0335	-1.42

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

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