CBOE China ETF Volatility Index

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CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

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CBOE Russell 2000 Volatility Index

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CBOE Skew 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	21
α ARCH Response to squared shocks	0.5113	16.47***
β GARCH Volatility persistence	0.0286	3.93***
γ leverage Additional response to negative shocks	-0.5000	-15.70***
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.22
λ₂ forecast adj. Forecast performance sensitivity	0.0208	1.54
λ₃ tau persistence Long-term factor persistence	0.6782	4.15***

V-Lab

ZJK Industrial Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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