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
ω const Unconditional variance weight	1.3406	7.36***
α ARCH Response to squared shocks	0.1577	5.17***
β GARCH Volatility persistence	0.7703	19.24***

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Zhejiang MTCN Technology Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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