CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3600	8.50***
α ARCH Response to squared shocks	0.3017	9.17***
β GARCH Volatility persistence	0.8457	42.75***
γ leverage Additional response to negative shocks	0.0746	2.90***

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