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	0.7414	6.22***
α ARCH Response to squared shocks	0.1006	8.32***
β GARCH Volatility persistence	0.8259	38.34***

γ₁	0.0880	2.50**
γ₂	-0.1768	-3.42***
γ₃	0.1311	4.05***
γ₄	-0.0748	-2.38**
γ₅	0.0713	2.13**
γ₆	-0.0555	-2.15**

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Inner Mongolia North Hauler JSC Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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