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	1.1915	4.78***
α ARCH Response to squared shocks	0.2040	3.84***
β GARCH Volatility persistence	0.0907	0.74

γ₁	-2.1421	-1.44
γ₂	5.7732	2.65***
γ₃	-6.1234	-4.15***
γ₄	3.9867	2.78***
γ₅	-2.0463	-1.63
γ₆	0.3581	0.39

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