CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

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Param	Value	t-stat
ωconst	1.4707	3.59***
αARCH	0.1279	2.04**
βGARCH	0.4403	1.48

γ₁	118.2451	4.74***
γ₂	-168.1215	-3.79***
γ₃	87.3362	1.94*
γ₄	-102.1161	-1.72*
γ₅	127.5909	2.00**
γ₆	-109.6578	-2.15**
γ₇	98.1501	2.21**
γ₈	-79.0733	-1.71*
γ₉	27.1526	0.77

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4707	3.59***
α ARCH Response to squared shocks	0.1279	2.04**
β GARCH Volatility persistence	0.4403	1.48

γ₁	118.2451	4.74***
γ₂	-168.1215	-3.79***
γ₃	87.3362	1.94*
γ₄	-102.1161	-1.72*
γ₅	127.5909	2.00**
γ₆	-109.6578	-2.15**
γ₇	98.1501	2.21**
γ₈	-79.0733	-1.71*
γ₉	27.1526	0.77

V-Lab

Icbc Credit Suisse- Mengneng Zero Slope Spline-GARCH Volatility Analysis

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