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	66
α ARCH Response to squared shocks	0.1290	18.90***
β GARCH Volatility persistence	0.7501	71.00***
γ leverage Additional response to negative shocks	-0.0317	-4.14***
λ₁ tau intercept Baseline long-term coefficient	3.0440	0.28
λ₂ forecast adj. Forecast performance sensitivity	0.7782	0.29
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Wenzhou Yihua Connector Co., Ltd. MF2-GARCH Volatility Analysis

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