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	66
α ARCH Response to squared shocks	0.0946	21.28***
β GARCH Volatility persistence	0.7637	98.89***
γ leverage Additional response to negative shocks	0.0616	10.97***
λ₁ tau intercept Baseline long-term coefficient	0.1316	0.87
λ₂ forecast adj. Forecast performance sensitivity	0.4639	0.86
λ₃ tau persistence Long-term factor persistence	0.5000	0.85

V-Lab

Shanghai Stock Exchange Composite Index MF2-GARCH Volatility Analysis

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