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	10.8353	3.55***
α ARCH Response to squared shocks	0.1057	11.73***
β GARCH Volatility persistence	0.9499	70.02***
ν DF Student-t tail thickness	3.5772	6.09***

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Shanghai Model Organisms Center Inc GAS-GARCH Student T Volatility Analysis

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