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	0.1794	11.98***
β GARCH Volatility persistence	0.7767	35.36***
γ leverage Additional response to negative shocks	-0.1259	-6.18***
λ₁ tau intercept Baseline long-term coefficient	1.9994	0.92
λ₂ forecast adj. Forecast performance sensitivity	0.4294	1.20
λ₃ tau persistence Long-term factor persistence	0.5148	1.14

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Hua Hong Grace Semiconductor Ltd MF2-GARCH Volatility Analysis

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