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	1.0880	13.55***
α ARCH Response to squared shocks	0.1230	11.38***
β GARCH Volatility persistence	0.8073	79.43***
γ leverage Additional response to negative shocks	-0.0569	-3.68***

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