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	0.6567	15.04***
α ARCH Response to squared shocks	0.2706	9.33***
β GARCH Volatility persistence	0.7056	44.71***
γ leverage Additional response to negative shocks	-0.1451	-4.02***

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