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
m window Rolling window length	46
α ARCH Response to squared shocks	0.0886	11.61***
β GARCH Volatility persistence	0.5935	22.69***
γ leverage Additional response to negative shocks	0.0580	4.88***
λ₁ tau intercept Baseline long-term coefficient	4.0865	0.69
λ₂ forecast adj. Forecast performance sensitivity	0.5996	0.74
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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