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	0.8776	11.95***
α ARCH Response to squared shocks	0.1692	11.81***
β GARCH Volatility persistence	0.8219	94.58***
γ leverage Additional response to negative shocks	-0.0708	-2.98***

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Inno Laser Technology Co Ltd GJR-GARCH Volatility Analysis

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