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

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Parameter	Value	t-statistic
ω const Unconditional variance weight	12.7068	4.31***
α ARCH Response to squared shocks	0.0997	25.26***
β GARCH Volatility persistence	0.9817	215.37***
ν DF Student-t tail thickness	4.8070	8.88***

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Guangdong Qunxing Toys Joint-Stock Co Ltd GAS-GARCH Student T Volatility Analysis

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