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	0.1312	9.65***
α ARCH Response to squared shocks	0.1301	16.90***
β GARCH Volatility persistence	0.8657	147.88***
γ leverage Additional response to negative shocks	0.0085	0.75
δ power Transformation power	2.0622	14.72***

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