CBOE China ETF Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	12.6447	7.25***
α ARCH Response to squared shocks	0.1022	11.84***
β GARCH Volatility persistence	0.9211	75.64***
ν DF Student-t tail thickness	4.5121	4.17***

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