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
m window Rolling window length	26
α ARCH Response to squared shocks	0.0486	1.45
β GARCH Volatility persistence	0.7857	9.30***
γ leverage Additional response to negative shocks	-0.0486	-1.38
λ₁ tau intercept Baseline long-term coefficient	1.5070	0.18
λ₂ forecast adj. Forecast performance sensitivity	0.3553	0.15
λ₃ tau persistence Long-term factor persistence	0.5016	0.15

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