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	0.5868	13.97***
α ARCH Response to squared shocks	0.1782	11.81***
β GARCH Volatility persistence	0.7976	104.66***
γ leverage Additional response to negative shocks	-0.0581	-2.78***

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Tianjin Pengling Rubber Hose Co Ltd GJR-GARCH Volatility Analysis

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