CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1272	25.04***
α ARCH Response to squared shocks	0.1646	35.54***
β GARCH Volatility persistence	0.8030	259.60***
γ leverage Additional response to negative shocks	0.0231	2.68***

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Wuliangye Yibin Co Ltd Asy. MEM Volatility Analysis

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