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
ω const Unconditional variance weight	0.8957	3.43***
α ARCH Response to squared shocks	0.1194	4.05***
β GARCH Volatility persistence	0.7303	12.08***

γ₁	-0.1641	-0.50
γ₂	0.3902	0.94
γ₃	-0.6085	-3.28***
γ₄	0.8542	4.84***
γ₅	-0.7074	-5.23***

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Jiangsu Ankura Intelligent Power Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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