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	26
α ARCH Response to squared shocks	0.0653	14.25***
β GARCH Volatility persistence	0.8526	42.48***
γ leverage Additional response to negative shocks	-0.0080	-1.61
λ₁ tau intercept Baseline long-term coefficient	0.0128	2.49**
λ₂ forecast adj. Forecast performance sensitivity	0.0461	2.15**
λ₃ tau persistence Long-term factor persistence	0.9471	40.12***

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China Yangtze Power Co Ltd MF2-GARCH Volatility Analysis

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