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	0.0646	14.08***
β GARCH Volatility persistence	0.8534	42.15***
γ leverage Additional response to negative shocks	-0.0071	-1.43
λ₁ tau intercept Baseline long-term coefficient	0.0130	2.47**
λ₂ forecast adj. Forecast performance sensitivity	0.0467	2.12**
λ₃ tau persistence Long-term factor persistence	0.9465	39.18***

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China Yangtze Power Co Ltd MF2-GARCH Volatility Analysis

Date Range:

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