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	1.2775	5.18***
α ARCH Response to squared shocks	0.0596	4.67***
β GARCH Volatility persistence	0.9032	48.94***

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East Money Information Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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News Impact Curve

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