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	0.6373	8.71***
α ARCH Response to squared shocks	0.1052	10.30***
β GARCH Volatility persistence	0.8908	121.33***
γ leverage Additional response to negative shocks	-0.0593	-3.78***

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