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
m window Rolling window length	76
α ARCH Response to squared shocks	0.3754	7.68***
β GARCH Volatility persistence	0.5163	7.74***
γ leverage Additional response to negative shocks	-0.3615	-8.12***
λ₁ tau intercept Baseline long-term coefficient	2.1750	0.11
λ₂ forecast adj. Forecast performance sensitivity	0.1915	0.12
λ₃ tau persistence Long-term factor persistence	0.5862	0.15

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