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	0.0664	16.37***
α ARCH Response to squared shocks	0.0893	18.04***
β GARCH Volatility persistence	0.9029	336.63***
γ leverage Additional response to negative shocks	0.0108	1.43

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Shanghai Chlor-Alkali Chemical Co Ltd GJR-GARCH Volatility Analysis

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