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	0.1035	7.20***
α ARCH Response to squared shocks	0.1281	17.27***
β GARCH Volatility persistence	0.8720	100.42***
γ leverage Additional response to negative shocks	-0.0655	-1.65*
δ power Transformation power	0.9106	12.07***

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