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	0.6783	15.48***
α ARCH Response to squared shocks	0.1100	13.29***
β GARCH Volatility persistence	0.8557	149.63***
γ leverage Additional response to negative shocks	-0.0299	-2.28**

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Wenzhou Yihua Connector Co., Ltd. GJR-GARCH Volatility Analysis

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