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	0.0887	19.71***
β GARCH Volatility persistence	0.7422	101.27***
γ leverage Additional response to negative shocks	0.0616	10.57***
λ₁ tau intercept Baseline long-term coefficient	0.4748	4.13***
λ₂ forecast adj. Forecast performance sensitivity	0.8221	21.10***
λ₃ tau persistence Long-term factor persistence	0.0575	0.97

V-Lab

Shenzhen Stock Exchange Composite Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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