CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1017	6.12***
α ARCH Response to squared shocks	0.0342	11.76***
β GARCH Volatility persistence	0.9731	474.47***
γ leverage Additional response to negative shocks	-0.0342	-9.09***

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