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	121
α ARCH Response to squared shocks	0.1027	25.37***
β GARCH Volatility persistence	0.8781	207.59***
γ leverage Additional response to negative shocks	-0.0438	-11.22***
λ₁ tau intercept Baseline long-term coefficient	1.4807	0.75
λ₂ forecast adj. Forecast performance sensitivity	0.7923	0.77
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Sansteel Minguang Co Ltd Fujian MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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