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	0.5600	9.75***
α ARCH Response to squared shocks	0.1258	10.10***
β GARCH Volatility persistence	0.8007	61.11***
γ leverage Additional response to negative shocks	-0.0073	-0.35

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AnHui Higasket Plastics Co Ltd GJR-GARCH Volatility Analysis

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