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	0.1267	10.74***
α ARCH Response to squared shocks	0.2485	32.93***
β GARCH Volatility persistence	0.7081	77.48***
γ leverage Additional response to negative shocks	-0.0083	-0.69
δ power Transformation power	0.5763	9.05***

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