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	0.2133	20.04***
β GARCH Volatility persistence	0.3103	8.40***
γ leverage Additional response to negative shocks	-0.0076	-0.51
λ₁ tau intercept Baseline long-term coefficient	1.0371	0.88
λ₂ forecast adj. Forecast performance sensitivity	0.1637	0.90
λ₃ tau persistence Long-term factor persistence	0.6956	2.08**

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Shandong Liancheng Precision Manufacturing Co., Ltd MF2-GARCH Volatility Analysis

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