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	61
α ARCH Response to squared shocks	0.1097	30.13***
β GARCH Volatility persistence	0.8226	119.83***
γ leverage Additional response to negative shocks	-0.0203	-3.65***
λ₁ tau intercept Baseline long-term coefficient	0.0282	3.82***
λ₂ forecast adj. Forecast performance sensitivity	0.0454	4.41***
λ₃ tau persistence Long-term factor persistence	0.9494	80.57***

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Tsingtao Brewery Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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