CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1906	7.96***
β GARCH Volatility persistence	0.2061	2.52**
γ leverage Additional response to negative shocks	-0.0774	-4.11***
λ₁ tau intercept Baseline long-term coefficient	2.5642	0.30
λ₂ forecast adj. Forecast performance sensitivity	0.3625	0.32
λ₃ tau persistence Long-term factor persistence	0.4568	0.26

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