CBOE China ETF Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1479	8.05***
β GARCH Volatility persistence	0.4152	14.85***
γ leverage Additional response to negative shocks	0.2162	7.28***
λ₁ tau intercept Baseline long-term coefficient	0.0066	0.40
λ₂ forecast adj. Forecast performance sensitivity	0.0160	1.62
λ₃ tau persistence Long-term factor persistence	0.9803	72.40***

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