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
ω const Unconditional variance weight	0.3019	12.88***
α ARCH Response to squared shocks	0.2018	42.03***
β GARCH Volatility persistence	0.7693	203.84***

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Inner Mongolia North Hauler JSC Ltd MEM Volatility Analysis

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