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	12.2108	6.54***
α ARCH Response to squared shocks	0.0632	60.64***
β GARCH Volatility persistence	0.9965	2,009.12***
ν DF Student-t tail thickness	4.9112	24.01***

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Jiangsu Guotai International Group Guomao Co Ltd GAS-GARCH Student T Volatility Analysis

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