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	0.9526	10.67***
α ARCH Response to squared shocks	0.1695	12.97***
β GARCH Volatility persistence	0.8035	55.60***
γ leverage Additional response to negative shocks	-0.0927	-4.67***

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Ningbo Daye Garden Machinery Co Ltd GJR-GARCH Volatility Analysis

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