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

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.1491	11.62***
β GARCH Volatility persistence	0.7897	34.82***
γ leverage Additional response to negative shocks	-0.0903	-7.94***
λ₁ tau intercept Baseline long-term coefficient	2.0978	0.69
λ₂ forecast adj. Forecast performance sensitivity	0.1778	0.81
λ₃ tau persistence Long-term factor persistence	0.6499	1.39

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