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	21
α ARCH Response to squared shocks	0.0801	4.50***
β GARCH Volatility persistence	0.9600	795.98***
γ leverage Additional response to negative shocks	-0.0801	-5.88***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.4615	6.26***
λ₃ tau persistence Long-term factor persistence	0.0001	0.39

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