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	0.2376	19.06***
α ARCH Response to squared shocks	0.1013	20.78***
β GARCH Volatility persistence	0.8836	278.93***
γ leverage Additional response to negative shocks	-0.0247	-3.39***

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Inner Mongolia North Hauler JSC Ltd GJR-GARCH Volatility Analysis

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