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	76
α ARCH Response to squared shocks	0.0815	9.54***
β GARCH Volatility persistence	0.8281	42.48***
γ leverage Additional response to negative shocks	0.0009	0.09
λ₁ tau intercept Baseline long-term coefficient	1.7034	0.24
λ₂ forecast adj. Forecast performance sensitivity	0.2124	0.22
λ₃ tau persistence Long-term factor persistence	0.6447	0.40

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Xi'An Peri Power Semiconductor Converting Technology Co Ltd MF2-GARCH Volatility Analysis

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