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
m window Rolling window length	81
α ARCH Response to squared shocks	0.1169	26.25***
β GARCH Volatility persistence	0.7641	87.02***
γ leverage Additional response to negative shocks	-0.0075	-1.28
λ₁ tau intercept Baseline long-term coefficient	1.6635	4.04***
λ₂ forecast adj. Forecast performance sensitivity	0.7633	10.17***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Fujian Yanjing Huiquan Brewery Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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