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	1.0825	4.46***
α ARCH Response to squared shocks	0.0876	3.77***
β GARCH Volatility persistence	0.8828	27.50***

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Capitalonline Data Service Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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