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

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0478	7.52***
α ARCH Response to squared shocks	0.3013	2.57**
β GARCH Volatility persistence	0.3914	3.60***

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Qingdao Paguld Intelligent Zero Slope Spline-GARCH Volatility Analysis

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