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
m window Rolling window length	41
α ARCH Response to squared shocks	0.0543	13.12***
β GARCH Volatility persistence	0.3696	24.35***
γ leverage Additional response to negative shocks	0.3263	19.33***
λ₁ tau intercept Baseline long-term coefficient	4.3686	0.97
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Zhejiang E-P Equipment Co MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

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