CBOE China ETF Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	15.5451	3.13***
α ARCH Response to squared shocks	0.1083	23.40***
β GARCH Volatility persistence	0.9773	127.05***
ν DF Student-t tail thickness	4.1246	8.40***

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Jiangsu Ankura Intelligent Power Co Ltd GAS-GARCH Student T Volatility Analysis

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