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	0.1427	22.92***
α ARCH Response to squared shocks	0.0903	49.94***
β GARCH Volatility persistence	0.8851	476.38***
γ leverage Additional response to negative shocks	-0.0394	-0.82

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Wuliangye Yibin Co Ltd AGARCH Volatility Analysis

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