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
m window Rolling window length	51
α ARCH Response to squared shocks	0.1879	17.44***
β GARCH Volatility persistence	0.7110	68.86***
γ leverage Additional response to negative shocks	0.0114	0.67
λ₁ tau intercept Baseline long-term coefficient	1.5457	7.07***
λ₂ forecast adj. Forecast performance sensitivity	0.7519	21.75***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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