CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.1475	12.86***
β GARCH Volatility persistence	0.4022	14.05***
γ leverage Additional response to negative shocks	0.0755	3.51***
λ₁ tau intercept Baseline long-term coefficient	1.8559	0.56
λ₂ forecast adj. Forecast performance sensitivity	0.6984	0.79
λ₃ tau persistence Long-term factor persistence	0.1744	0.15

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