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	16.4238	5.02***
α ARCH Response to squared shocks	0.1403	18.41***
β GARCH Volatility persistence	0.9397	81.58***
ν DF Student-t tail thickness	3.6474	8.97***

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Ningbo Daye Garden Machinery Co Ltd GAS-GARCH Student T Volatility Analysis

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