CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

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Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	1.1802	9.28***
αARCH	0.1665	5.75***
βGARCH	0.7760	23.49***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1802	9.28***
α ARCH Response to squared shocks	0.1665	5.75***
β GARCH Volatility persistence	0.7760	23.49***

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