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	1.3806	5.81***
α ARCH Response to squared shocks	0.0885	8.35***
β GARCH Volatility persistence	0.8696	57.96***

γ₁	-0.0494	-0.99
γ₂	0.0487	0.63
γ₃	0.0815	1.73*
γ₄	-0.1842	-4.42***
γ₅	0.1525	3.49***
γ₆	0.0054	0.13
γ₇	-0.1640	-4.26***
γ₈	0.1657	6.40***

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Tsingtao Brewery Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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