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	1.3695	4.17***
α ARCH Response to squared shocks	0.1101	8.40***
β GARCH Volatility persistence	0.8215	40.44***

γ₁	-0.0342	-1.03
γ₂	0.0786	1.68*
γ₃	-0.0732	-3.18***
γ₄	0.0492	3.00***
γ₅	-0.0429	-2.82***
γ₆	0.0349	2.97***

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Jinbei Automotive Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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