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

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0434	5.07***
β GARCH Volatility persistence	0.6766	23.33***
γ leverage Additional response to negative shocks	0.0806	6.39***
λ₁ tau intercept Baseline long-term coefficient	0.0672	0.80
λ₂ forecast adj. Forecast performance sensitivity	0.2347	1.04
λ₃ tau persistence Long-term factor persistence	0.7446	2.98***

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Shanghai Shenzhen CSI 300 Index MF2-GARCH Volatility Analysis

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