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	21
α ARCH Response to squared shocks	0.1539	9.17***
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.1681	9.58***
λ₁ tau intercept Baseline long-term coefficient	1.7815	0.52
λ₂ forecast adj. Forecast performance sensitivity	0.4006	0.53
λ₃ tau persistence Long-term factor persistence	0.3900	0.33

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Jiangyin Zhongnan Heavy Industries Co Ltd MF2-GARCH Volatility Analysis

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