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	1.6921	4.97***
α ARCH Response to squared shocks	0.0936	8.17***
β GARCH Volatility persistence	0.8302	38.70***

γ₁	-0.0052	-0.12
γ₂	0.0007	0.01
γ₃	0.0869	2.29**
γ₄	-0.1692	-5.28***
γ₅	0.1300	4.12***
γ₆	-0.0453	-1.51
γ₇	-0.0338	-1.09
γ₈	0.0635	2.62***

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Shanxi Xinghuacun Fen Wine Factory Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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