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	0.4381	10.76***
α ARCH Response to squared shocks	0.0665	9.17***
β GARCH Volatility persistence	0.8927	143.25***
γ leverage Additional response to negative shocks	0.0052	0.42

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Lens Technology Co.,Ltd. GJR-GARCH Volatility Analysis

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