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

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Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.0000	0.01
β GARCH Volatility persistence	0.4341	205.37***
γ leverage Additional response to negative shocks	0.5000	147.28***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0534	1.19
λ₃ tau persistence Long-term factor persistence	0.9335	24.33***

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