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
α ARCH Response to squared shocks	0.1762	19.36***
β GARCH Volatility persistence	0.7976	86.24***
γ leverage Additional response to negative shocks	-0.0682	-4.56***
λ₁ tau intercept Baseline long-term coefficient	17.8817

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Inno Laser Technology Co Ltd MF2-GARCH Volatility Analysis

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