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	0.4705	15.66***
α ARCH Response to squared shocks	0.1207	28.67***
β GARCH Volatility persistence	0.8349	142.03***
γ leverage Additional response to negative shocks	-0.2779	-3.69***

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