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	0.9413	4.73***
α ARCH Response to squared shocks	0.0701	7.63***
β GARCH Volatility persistence	0.8848	60.93***

γ₁	-0.0022	-0.04
γ₂	0.0681	0.94
γ₃	-0.1772	-4.24***
γ₄	0.1908	4.58***
γ₅	-0.0899	-2.35**
γ₆	-0.0339	-0.89
γ₇	0.0766	2.42**

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Wuliangye Yibin Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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