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

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	17.8355	5.26***
α ARCH Response to squared shocks	0.1041	15.86***
β GARCH Volatility persistence	0.9720	150.24***
ν DF Student-t tail thickness	6.6667	3.86***

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Wenzhou Yihua Connector Co., Ltd. GAS-GARCH Student T Volatility Analysis

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