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	61
α ARCH Response to squared shocks	0.0825	20.59***
β GARCH Volatility persistence	0.8238	110.68***
γ leverage Additional response to negative shocks	-0.0111	-2.28**
λ₁ tau intercept Baseline long-term coefficient	1.0947	0.80
λ₂ forecast adj. Forecast performance sensitivity	0.8591	1.03
λ₃ tau persistence Long-term factor persistence	0.0177	0.02

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Jiangsu Guotai International Group Guomao Co Ltd MF2-GARCH Volatility Analysis

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