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	1.5192	3.96***
α ARCH Response to squared shocks	0.0788	9.19***
β GARCH Volatility persistence	0.8922	70.30***

γ₁	-0.0033	-0.05
γ₂	0.0742	0.80
γ₃	-0.0713	-1.02
γ₄	-0.0483	-0.80
γ₅	-0.0072	-0.12
γ₆	0.2313	3.68***
γ₇	-0.3209	-5.21***
γ₈	0.1904	4.10***

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Shanghai Milkground Food Tech Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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