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	0.0813	18.59***
α ARCH Response to squared shocks	0.1881	62.15***
β GARCH Volatility persistence	0.7964	229.38***
γ leverage Additional response to negative shocks	0.0241	3.40***
δ power Transformation power	1.1883	20.11***

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Wuliangye Yibin Co Ltd Asy. Power MEM Volatility Analysis

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