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	0.2769	11.99***
α ARCH Response to squared shocks	0.0624	12.31***
β GARCH Volatility persistence	0.9168	246.31***
γ leverage Additional response to negative shocks	-0.0148	-1.75*

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East Money Information Co Ltd GJR-GARCH Volatility Analysis

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