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

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1808	14.09***
β GARCH Volatility persistence	0.4132	13.06***
γ leverage Additional response to negative shocks	0.0731	3.04***
λ₁ tau intercept Baseline long-term coefficient	0.3313	1.07
λ₂ forecast adj. Forecast performance sensitivity	0.1107	1.46
λ₃ tau persistence Long-term factor persistence	0.8652	9.59***

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