CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.1289	1.75*
β GARCH Volatility persistence	0.9305	15.44***
γ leverage Additional response to negative shocks	-0.1289	-2.10**
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0031	0.05
λ₃ tau persistence Long-term factor persistence	0.0000	0.03

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