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	26
α ARCH Response to squared shocks	0.0482	1.35
β GARCH Volatility persistence	0.7824	8.58***
γ leverage Additional response to negative shocks	-0.0482	-1.29
λ₁ tau intercept Baseline long-term coefficient	1.4406	0.18
λ₂ forecast adj. Forecast performance sensitivity	0.3372	0.15
λ₃ tau persistence Long-term factor persistence	0.5284	0.17

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