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
α ARCH Response to squared shocks	0.0255	1.59
β GARCH Volatility persistence	0.6234	70.14***
γ leverage Additional response to negative shocks	0.5000	13.89***
λ₁ tau intercept Baseline long-term coefficient	7.3316	28.55***

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Zhejiang Tion Vanly Tech Co MF2-GARCH Volatility Analysis

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