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
m window Rolling window length	21
α ARCH Response to squared shocks	0.1489	8.16***
β GARCH Volatility persistence	0.4182	15.27***
γ leverage Additional response to negative shocks	0.2168	7.32***
λ₁ tau intercept Baseline long-term coefficient	0.0065	0.40
λ₂ forecast adj. Forecast performance sensitivity	0.0154	1.64
λ₃ tau persistence Long-term factor persistence	0.9809	76.25***

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