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	0.1113	14.01***
α ARCH Response to squared shocks	0.1022	35.55***
β GARCH Volatility persistence	0.8950	326.76***
γ leverage Additional response to negative shocks	-0.0065	-0.43
δ power Transformation power	1.3698	27.06***

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Shanxi Xinghuacun Fen Wine Factory Co Ltd APARCH Volatility Analysis

Date Range:

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