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	0.1049	13.84***
α ARCH Response to squared shocks	0.0893	17.20***
β GARCH Volatility persistence	0.9093	244.50***
γ leverage Additional response to negative shocks	-0.0312	-3.80***

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Founder Securities Co Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

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