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	41
α ARCH Response to squared shocks	0.1482	17.57***
β GARCH Volatility persistence	0.6609	39.79***
γ leverage Additional response to negative shocks	0.0329	2.85***
λ₁ tau intercept Baseline long-term coefficient	3.1516	0.84
λ₂ forecast adj. Forecast performance sensitivity	0.7036	0.89
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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