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	0.1319	13.86***
α ARCH Response to squared shocks	0.2111	24.97***
β GARCH Volatility persistence	0.9529	271.25***
γ leverage Additional response to negative shocks	0.0337	4.79***

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