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	0.8795	18.70***
α ARCH Response to squared shocks	0.2713	22.23***
β GARCH Volatility persistence	0.6466	64.13***
γ leverage Additional response to negative shocks	0.0086	0.36

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Jiangsu Ankura Intelligent Power Co Ltd Asy. MEM Volatility Analysis

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