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	1.3740	7.84***
α ARCH Response to squared shocks	0.0810	5.24***
β GARCH Volatility persistence	0.8927	46.02***

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Founder Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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