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	0.9428	4.76***
α ARCH Response to squared shocks	0.0696	7.58***
β GARCH Volatility persistence	0.8851	60.74***

γ₁	-0.0002	0.00
γ₂	0.0654	0.90
γ₃	-0.1764	-4.22***
γ₄	0.1903	4.57***
γ₅	-0.0889	-2.33**
γ₆	-0.0355	-0.93
γ₇	0.0777	2.46**

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Wuliangye Yibin Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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