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	0.4327	10.00***
α ARCH Response to squared shocks	0.3791	9.16***
β GARCH Volatility persistence	0.8130	41.84***
γ leverage Additional response to negative shocks	-0.0051	-0.20

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Qingdao Paguld Intelligent EGARCH Volatility Analysis

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