CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0781	27.70***
β GARCH Volatility persistence	0.9013	262.69***
γ leverage Additional response to negative shocks	-0.0105	-2.42**
λ₁ tau intercept Baseline long-term coefficient	0.0182	6.60***
λ₂ forecast adj. Forecast performance sensitivity	0.0059	4.09***
λ₃ tau persistence Long-term factor persistence	0.9908	513.09***

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