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	0.0525	17.80***
α ARCH Response to squared shocks	0.0811	33.59***
β GARCH Volatility persistence	0.9189	436.55***
γ leverage Additional response to negative shocks	-0.0013	-0.07
δ power Transformation power	1.7031	35.86***

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Tsingtao Brewery Co Ltd APARCH Volatility Analysis

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