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	0.1527	5.06***
α ARCH Response to squared shocks	0.0784	17.16***
β GARCH Volatility persistence	0.9044	159.19***
γ leverage Additional response to negative shocks	-0.0374	-1.03
δ power Transformation power	1.1814	8.06***

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