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	1.0000	3.35***
α ARCH Response to squared shocks	0.2829	11.21***
β GARCH Volatility persistence	0.4819	11.07***
γ leverage Additional response to negative shocks	0.0655	1.53
δ power Transformation power	1.5772	5.23***

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Zhejiang E-P Equipment Co APARCH Volatility Analysis

Date Range:

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