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	0.0814	12.48***
α ARCH Response to squared shocks	0.0805	16.84***
β GARCH Volatility persistence	0.9273	359.98***
γ leverage Additional response to negative shocks	-0.0298	-4.17***

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Jiangsu Guotai International Group Guomao Co Ltd GJR-GARCH Volatility Analysis

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