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	0.0026	4.61***
α ARCH Response to squared shocks	0.1015	31.58***
β GARCH Volatility persistence	0.8985	301.42***

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Guangdong Qunxing Toys Joint-Stock Co Ltd MEM Volatility Analysis

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