CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	93.1319	6.58***
α ARCH Response to squared shocks	0.0929	44.97***
β GARCH Volatility persistence	0.9964	2,664.14***
ν DF Student-t tail thickness	4.2495	18.00***

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Capitalonline Data Service Co Ltd GAS-GARCH Student T Volatility Analysis

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