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	0.3297	14.84***
α ARCH Response to squared shocks	0.1052	16.49***
β GARCH Volatility persistence	0.8735	181.86***
γ leverage Additional response to negative shocks	-0.0190	-1.97**

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