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
m window Rolling window length	46
α ARCH Response to squared shocks	0.1438	12.67***
β GARCH Volatility persistence	0.8384	81.07***
γ leverage Additional response to negative shocks	-0.0686	-5.40***
λ₁ tau intercept Baseline long-term coefficient	5.3646	0.24
λ₂ forecast adj. Forecast performance sensitivity	0.4737	0.22
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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