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

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0809	10.16***
β GARCH Volatility persistence	0.4522	11.77***
γ leverage Additional response to negative shocks	0.1567	12.34***
λ₁ tau intercept Baseline long-term coefficient	5.8687	0.41
λ₂ forecast adj. Forecast performance sensitivity	0.5475	0.43
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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