CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7503	2.78***
α ARCH Response to squared shocks	0.0912	1.38
β GARCH Volatility persistence	0.5289	2.34**

γ₁	28.7257	2.16**
γ₂	-38.9525	-2.03**
γ₃	26.6460	2.33**
γ₄	-27.2814	-3.77***

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