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	10.3370	5.70***
α ARCH Response to squared shocks	0.1040	29.47***
β GARCH Volatility persistence	0.9785	259.14***
ν DF Student-t tail thickness	4.6769	11.06***

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Liaoning Shidai Wanheng Co Ltd GAS-GARCH Student T Volatility Analysis

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