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	0.1710	15.85***
α ARCH Response to squared shocks	0.1096	20.46***
β GARCH Volatility persistence	0.8898	292.70***
γ leverage Additional response to negative shocks	-0.0348	-4.56***

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Beijing Dalong Weiye Real Estate Development Co Ltd GJR-GARCH Volatility Analysis

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