CBOE China ETF Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8728	22.50***
α ARCH Response to squared shocks	0.2187	24.46***
β GARCH Volatility persistence	0.7293	117.34***
γ leverage Additional response to negative shocks	-0.0308	-2.23**

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Anhui Tatfook Technology Co Ltd Asy. MEM Volatility Analysis

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