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
m window Rolling window length	101
α ARCH Response to squared shocks	0.1113	27.91***
β GARCH Volatility persistence	0.8447	170.96***
γ leverage Additional response to negative shocks	-0.0310	-8.16***
λ₁ tau intercept Baseline long-term coefficient	1.1212	1.59
λ₂ forecast adj. Forecast performance sensitivity	0.6754	1.71*
λ₃ tau persistence Long-term factor persistence	0.1927	0.40

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