CBOE China ETF Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.0836	29.90***
β GARCH Volatility persistence	0.8722	210.62***
γ leverage Additional response to negative shocks	-0.0293	-10.73***
λ₁ tau intercept Baseline long-term coefficient	0.5874	2.75***
λ₂ forecast adj. Forecast performance sensitivity	0.7807	5.14***
λ₃ tau persistence Long-term factor persistence	0.1547	0.87

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