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	0.8877	3.38***
α ARCH Response to squared shocks	0.1214	4.18***
β GARCH Volatility persistence	0.7311	12.35***

γ₁	-0.1871	-0.57
γ₂	0.4301	1.03
γ₃	-0.6457	-3.23***
γ₄	0.9011	3.60***
γ₅	-0.8024	-1.70*

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