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	0.2580	8.58***
α ARCH Response to squared shocks	0.0469	3.02***
β GARCH Volatility persistence	0.6001	25.73***
γ leverage Additional response to negative shocks	0.4877	5.53***

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Zhejiang Tion Vanly Tech Co GJR-GARCH Volatility Analysis

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