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
m window Rolling window length	126
α ARCH Response to squared shocks	0.0335	10.05***
β GARCH Volatility persistence	0.9733	220.26***
γ leverage Additional response to negative shocks	-0.0335	-8.46***
λ₁ tau intercept Baseline long-term coefficient	0.2005	0.84
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9803	55.19***

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