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	0.2410	22.13***
α ARCH Response to squared shocks	0.1245	21.79***
β GARCH Volatility persistence	0.8711	267.22***
γ leverage Additional response to negative shocks	-0.0396	-4.96***

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Liaoning Shidai Wanheng Co Ltd GJR-GARCH Volatility Analysis

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