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	0.1687	14.74***
α ARCH Response to squared shocks	0.0676	17.27***
β GARCH Volatility persistence	0.9261	353.59***
γ leverage Additional response to negative shocks	-0.0212	-3.83***

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Sichuan Haite High-tech Co Ltd GJR-GARCH Volatility Analysis

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