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	0.4711	8.96***
α ARCH Response to squared shocks	0.1445	9.51***
β GARCH Volatility persistence	0.8575	77.51***
γ leverage Additional response to negative shocks	-0.0978	-4.55***

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Shanghai Model Organisms Center Inc GJR-GARCH Volatility Analysis

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