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	46
α ARCH Response to squared shocks	0.0856	21.40***
β GARCH Volatility persistence	0.8228	71.93***
γ leverage Additional response to negative shocks	0.0036	0.78
λ₁ tau intercept Baseline long-term coefficient	0.1213	2.95***
λ₂ forecast adj. Forecast performance sensitivity	0.0394	2.77***
λ₃ tau persistence Long-term factor persistence	0.9472	51.20***

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