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	10.5434	4.04***
α ARCH Response to squared shocks	0.0845	32.30***
β GARCH Volatility persistence	0.9859	278.58***
ν DF Student-t tail thickness	4.2281	12.34***

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Inner Mongolia North Hauler JSC Ltd GAS-GARCH Student T Volatility Analysis

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