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	0.1872	6.89***
α ARCH Response to squared shocks	0.1709	18.86***
β GARCH Volatility persistence	0.8085	81.13***
γ leverage Additional response to negative shocks	-0.0063	-0.64
δ power Transformation power	1.3864	7.24***

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