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	0.5586	3.92***
α ARCH Response to squared shocks	0.1660	3.02***
β GARCH Volatility persistence	0.7527	9.58***

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Hua Hong Grace Semiconductor Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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