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
ω const Unconditional variance weight	1.0443	4.22***
α ARCH Response to squared shocks	0.1456	4.51***
β GARCH Volatility persistence	0.7891	16.83***

γ₁	0.1842	1.66*
γ₂	-0.2657	-1.94*

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Inno Laser Technology Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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