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
ω const Unconditional variance weight	8.7350	4.12***
α ARCH Response to squared shocks	0.0949	35.31***
β GARCH Volatility persistence	0.9855	273.82***
ν DF Student-t tail thickness	4.3715	12.12***

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Zhejiang Kingland Pipeline & Technologies Co Ltd GAS-GARCH Student T Volatility Analysis

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