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	0.1114	11.38***
α ARCH Response to squared shocks	0.1809	21.67***
β GARCH Volatility persistence	0.9594	247.71***
γ leverage Additional response to negative shocks	0.0150	2.60***

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