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
ω const Unconditional variance weight	11.3714	5.44***
α ARCH Response to squared shocks	0.0945	39.24***
β GARCH Volatility persistence	0.9879	435.58***
ν DF Student-t tail thickness	5.5210	10.92***

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