CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2014	22.60***
α ARCH Response to squared shocks	0.0824	21.96***
β GARCH Volatility persistence	0.8941	345.48***
γ leverage Additional response to negative shocks	0.0080	1.29

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Shanxi Xinghuacun Fen Wine Factory Co Ltd GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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