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	106
α ARCH Response to squared shocks	0.1014	23.14***
β GARCH Volatility persistence	0.8063	128.37***
γ leverage Additional response to negative shocks	0.0044	0.71
λ₁ tau intercept Baseline long-term coefficient	0.5489	5.86***
λ₂ forecast adj. Forecast performance sensitivity	0.7930	18.27***
λ₃ tau persistence Long-term factor persistence	0.0815	1.36

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