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	1.5626	7.30***
α ARCH Response to squared shocks	0.1544	9.51***
β GARCH Volatility persistence	0.7629	33.00***

γ₁	0.1359	3.03***
γ₂	-0.2719	-3.71***
γ₃	0.2486	5.01***
γ₄	-0.1969	-5.12***
γ₅	0.1048	2.36**
γ₆	0.0210	0.44
γ₇	-0.0654	-1.61
γ₈	0.0292	0.98

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Shanghai Chlor-Alkali Chemical Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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