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	0.1026	16.45***
α ARCH Response to squared shocks	0.0839	25.31***
β GARCH Volatility persistence	0.9116	357.65***
γ leverage Additional response to negative shocks	-0.0068	-1.07

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Zhejiang Jianfeng Group GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Zhejiang Jianfeng Group Analyses