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
ω const Unconditional variance weight	60.4899	6.42***
α ARCH Response to squared shocks	0.0933	45.75***
β GARCH Volatility persistence	0.9975	3,013.72***
ν DF Student-t tail thickness	3.0455	42.96***

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AnHui Higasket Plastics Co Ltd GAS-GARCH Student T Volatility Analysis

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