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	126
α ARCH Response to squared shocks	0.1460	9.23***
β GARCH Volatility persistence	0.6854	29.80***
γ leverage Additional response to negative shocks	0.0400	1.23
λ₁ tau intercept Baseline long-term coefficient	0.0625	0.58
λ₂ forecast adj. Forecast performance sensitivity	0.0163	1.52
λ₃ tau persistence Long-term factor persistence	0.9837	71.85***

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