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	0.6175	15.85***
α ARCH Response to squared shocks	0.0688	12.55***
β GARCH Volatility persistence	0.8635	149.09***
γ leverage Additional response to negative shocks	0.0399	3.17***

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Shanghai Kinlita Chemical Co Ltd GJR-GARCH Volatility Analysis

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