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	1.6945	4.97***
α ARCH Response to squared shocks	0.0937	8.20***
β GARCH Volatility persistence	0.8306	39.04***

γ₁	-0.0056	-0.13
γ₂	0.0018	0.03
γ₃	0.0850	2.25**
γ₄	-0.1673	-5.24***
γ₅	0.1294	4.10***
γ₆	-0.0463	-1.55
γ₇	-0.0321	-1.04
γ₈	0.0622	2.56**

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

Date Range:

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Parameter Estimates

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