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	1.3721	4.96***
α ARCH Response to squared shocks	0.1069	8.41***
β GARCH Volatility persistence	0.8417	48.56***

γ₁	-0.0688	-3.25***
γ₂	0.1481	4.49***
γ₃	-0.1343	-5.17***
γ₄	0.0751	3.18***
γ₅	-0.0334	-1.46
γ₆	0.0425	1.22

V-Lab

Zhejiang Jianfeng Group Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Zhejiang Jianfeng Group Analyses