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	26
α ARCH Response to squared shocks	0.0850	18.74***
β GARCH Volatility persistence	0.7450	82.64***
γ leverage Additional response to negative shocks	0.0760	11.77***
λ₁ tau intercept Baseline long-term coefficient	0.0066	2.96***
λ₂ forecast adj. Forecast performance sensitivity	0.0305	5.02***
λ₃ tau persistence Long-term factor persistence	0.9670	136.22***

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Shanghai Stock Exchange A Share Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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