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
m window Rolling window length	36
α ARCH Response to squared shocks	0.2329	25.42***
β GARCH Volatility persistence	0.3339	6.47***
γ leverage Additional response to negative shocks	-0.0627	-5.32***
λ₁ tau intercept Baseline long-term coefficient	0.9749	0.49
λ₂ forecast adj. Forecast performance sensitivity	0.3245	0.45
λ₃ tau persistence Long-term factor persistence	0.5894	0.65

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