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	26
α ARCH Response to squared shocks	0.1357	25.49***
β GARCH Volatility persistence	0.6145	42.07***
γ leverage Additional response to negative shocks	0.0496	6.16***
λ₁ tau intercept Baseline long-term coefficient	0.0965	2.67***
λ₂ forecast adj. Forecast performance sensitivity	0.0838	3.60***
λ₃ tau persistence Long-term factor persistence	0.9076	35.46***

V-Lab

Zhejiang Jianfeng Group MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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