CBOE China ETF Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	56.5162	3.48***
α ARCH Response to squared shocks	0.2782	16.53***
β GARCH Volatility persistence	0.9877	284.54***
ν DF Student-t tail thickness	4.8086	6.25***

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Inner Mongolia Shuangxin Environment-Friendly Material Co Ltd GAS-GARCH Student T Volatility Analysis

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