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

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5096	8.92***
α ARCH Response to squared shocks	0.0719	7.22***
β GARCH Volatility persistence	0.9072	66.10***

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Jiangsu Guotai International Group Guomao Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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