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	0.1524	13.96***
α ARCH Response to squared shocks	0.0949	30.77***
β GARCH Volatility persistence	0.8907	294.85***
γ leverage Additional response to negative shocks	-0.0977	-9.25***
δ power Transformation power	1.8654	31.10***

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