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	0.1215	12.25***
α ARCH Response to squared shocks	0.3293	33.07***
β GARCH Volatility persistence	0.6246	58.18***
γ leverage Additional response to negative shocks	-0.0213	-1.44
δ power Transformation power	0.5000	8.96***

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