CBOE China ETF Volatility Index

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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4324	7.21***
α ARCH Response to squared shocks	0.0853	7.89***
β GARCH Volatility persistence	0.8915	116.79***
γ leverage Additional response to negative shocks	-0.0138	-0.84

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