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	0.5823	14.65***
α ARCH Response to squared shocks	0.1332	13.37***
β GARCH Volatility persistence	0.7975	81.01***
γ leverage Additional response to negative shocks	0.0031	0.16

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Jiangyin Zhongnan Heavy Industries Co Ltd GJR-GARCH Volatility Analysis

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News Impact Curve

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