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	0.0829	10.38***
β GARCH Volatility persistence	0.4481	11.70***
γ leverage Additional response to negative shocks	0.1572	12.27***
λ₁ tau intercept Baseline long-term coefficient	5.8958	0.42
λ₂ forecast adj. Forecast performance sensitivity	0.5446	0.43
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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