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	106
α ARCH Response to squared shocks	0.1759	16.19***
β GARCH Volatility persistence	0.7811	90.34***
γ leverage Additional response to negative shocks	-0.0599	-4.38***
λ₁ tau intercept Baseline long-term coefficient	5.3263	0.22
λ₂ forecast adj. Forecast performance sensitivity	0.3807	0.22
λ₃ tau persistence Long-term factor persistence	0.1034	0.03

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Tianjin Pengling Rubber Hose Co Ltd MF2-GARCH Volatility Analysis

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