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

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.1406	26.29***
β GARCH Volatility persistence	0.7960	100.71***
γ leverage Additional response to negative shocks	-0.0389	-7.42***
λ₁ tau intercept Baseline long-term coefficient	0.0299	6.19***
λ₂ forecast adj. Forecast performance sensitivity	0.0165	6.81***
λ₃ tau persistence Long-term factor persistence	0.9803	339.31***

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Liaoning Shidai Wanheng Co Ltd MF2-GARCH Volatility Analysis

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