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	36
α ARCH Response to squared shocks	0.0875	25.49***
β GARCH Volatility persistence	0.8253	112.63***
γ leverage Additional response to negative shocks	0.0077	1.53
λ₁ tau intercept Baseline long-term coefficient	0.0147	3.57***
λ₂ forecast adj. Forecast performance sensitivity	0.0138	5.54***
λ₃ tau persistence Long-term factor persistence	0.9842	338.81***

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Shanxi Xinghuacun Fen Wine Factory Co Ltd MF2-GARCH Volatility Analysis

Date Range:

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