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	0.3607	3.64***
α ARCH Response to squared shocks	0.0833	7.47***
β GARCH Volatility persistence	0.8907	107.57***
γ leverage Additional response to negative shocks	-0.0513	-1.31
δ power Transformation power	1.7992	8.78***

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