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	0.2383	22.03***
α ARCH Response to squared shocks	0.1244	21.77***
β GARCH Volatility persistence	0.8719	268.54***
γ leverage Additional response to negative shocks	-0.0401	-5.03***

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Liaoning Shidai Wanheng Co Ltd GJR-GARCH Volatility Analysis

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