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	1.8213	12.50***
α ARCH Response to squared shocks	0.2680	8.53***
β GARCH Volatility persistence	0.3522	9.61***
γ leverage Additional response to negative shocks	0.0718	1.13

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Zhejiang E-P Equipment Co GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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