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	10.2557	5.08***
α ARCH Response to squared shocks	0.0662	73.88***
β GARCH Volatility persistence	0.9958	1,331.31***
ν DF Student-t tail thickness	4.2766	29.32***

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Tsingtao Brewery Co Ltd GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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