CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	14.6027	5.46***
α ARCH Response to squared shocks	0.0693	65.78***
β GARCH Volatility persistence	0.9953	1,336.03***
ν DF Student-t tail thickness	3.2072	55.36***

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Founder Securities Co Ltd GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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