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	1.3900	5.02***
α ARCH Response to squared shocks	0.1073	8.43***
β GARCH Volatility persistence	0.8412	48.80***

γ₁	-0.0657	-3.14***
γ₂	0.1424	4.36***
γ₃	-0.1288	-5.02***
γ₄	0.0680	2.94***
γ₅	-0.0207	-1.00
γ₆	0.0110	0.73

V-Lab

Zhejiang Jianfeng Group Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Zhejiang Jianfeng Group Analyses