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	0.6597	10.41***
α ARCH Response to squared shocks	0.1028	9.52***
β GARCH Volatility persistence	0.8162	68.98***
γ leverage Additional response to negative shocks	0.0024	0.13

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Zhejiang Walrus New Material Co Ltd GJR-GARCH Volatility Analysis

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News Impact Curve

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