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	1.5394	4.25***
α ARCH Response to squared shocks	0.1227	4.07***
β GARCH Volatility persistence	0.7564	14.42***

γ₁	1.8544	2.95***
γ₂	-3.0256	-3.00***
γ₃	2.5504	3.00***
γ₄	-2.6994	-3.63***
γ₅	1.8620	3.95***

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