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	0.0179	13.76***
α ARCH Response to squared shocks	0.0818	31.00***
β GARCH Volatility persistence	0.9155	358.58***
γ leverage Additional response to negative shocks	0.2214	8.14***

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Shanghai Stock Exchange A Share Index AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

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