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	0.7314	4.61***
α ARCH Response to squared shocks	0.1912	15.90***
β GARCH Volatility persistence	0.7363	39.36***
γ leverage Additional response to negative shocks	-0.0755	-1.95*
δ power Transformation power	1.2558	7.91***

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Guangdong Dtech Tchno Co Ltd APARCH Volatility Analysis

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