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
m window Rolling window length	111
α ARCH Response to squared shocks	0.0857	22.60***
β GARCH Volatility persistence	0.9056	300.57***
γ leverage Additional response to negative shocks	0.0116	2.23**
λ₁ tau intercept Baseline long-term coefficient	6.4875	1.05
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.7076	2.24**

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