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	61
α ARCH Response to squared shocks	0.1065	23.22***
β GARCH Volatility persistence	0.7638	98.34***
γ leverage Additional response to negative shocks	0.0631	9.32***
λ₁ tau intercept Baseline long-term coefficient	0.0209	3.68***
λ₂ forecast adj. Forecast performance sensitivity	0.0751	3.95***
λ₃ tau persistence Long-term factor persistence	0.9190	42.88***

V-Lab

Shanghai Stock Exchange Composite Index MF2-GARCH Volatility Analysis

Date Range:

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