CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	3,220.3020	7.13***
α ARCH Response to squared shocks	0.1326	204.71***
β GARCH Volatility persistence	0.9965	2,063.17***
ν DF Student-t tail thickness	2.0057

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Shanghai Chlor-Alkali Chemical Co Ltd GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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