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	71
α ARCH Response to squared shocks	0.3445	21.22***
β GARCH Volatility persistence	0.0972	3.97***
γ leverage Additional response to negative shocks	-0.1716	-6.50***
λ₁ tau intercept Baseline long-term coefficient	1.3240	0.46
λ₂ forecast adj. Forecast performance sensitivity	0.5417	0.58
λ₃ tau persistence Long-term factor persistence	0.2087	0.14

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Gdh Supertime Group Company MF2-GARCH Volatility Analysis

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