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	0.1554	7.66***
α ARCH Response to squared shocks	0.2242	8.62***
β GARCH Volatility persistence	0.9475	144.79***
γ leverage Additional response to negative shocks	0.0720	3.37***

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Hua Hong Grace Semiconductor Ltd EGARCH Volatility Analysis

Date Range:

News Impact Curve

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