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	51
α ARCH Response to squared shocks	0.2225	25.31***
β GARCH Volatility persistence	0.6836	46.21***
γ leverage Additional response to negative shocks	-0.1862	-11.95***
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.17
λ₂ forecast adj. Forecast performance sensitivity	0.6562	1.65*
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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CBOE China ETF Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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