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	4.1191	6.03***
α ARCH Response to squared shocks	0.0996	38.27***
β GARCH Volatility persistence	0.9828	345.46***
ν DF Student-t tail thickness	4.7736	13.31***

V-Lab

Shenzhen Stock Exchange Composite Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Shenzhen Stock Exchange Composite Index Analyses