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
ω const Unconditional variance weight	1.4281	4.43***
α ARCH Response to squared shocks	0.2310	2.38**
β GARCH Volatility persistence	0.6147	3.86***

γ₁	8.8022	2.48**
γ₂	-12.3738	-1.97**
γ₃	8.3862	1.32
γ₄	-13.7594	-1.97**
γ₅	16.3979	2.66***
γ₆	-9.6827	-2.72***

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