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	21.3532	3.78***
α ARCH Response to squared shocks	0.1400	8.75***
β GARCH Volatility persistence	0.9165	41.32***
ν DF Student-t tail thickness	3.7465	4.61***

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Guangdong Dtech Tchno Co Ltd GAS-GARCH Student T Volatility Analysis

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