CBOE China ETF Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8100	6.97***
α ARCH Response to squared shocks	0.0799	4.90***
β GARCH Volatility persistence	0.8766	28.82***

γ₁	-0.0205	-1.92*
γ₂	0.0261	1.92*

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Anhui Tatfook Technology Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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