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	76
α ARCH Response to squared shocks	0.0826	9.72***
β GARCH Volatility persistence	0.8254	42.14***
γ leverage Additional response to negative shocks	-0.0023	-0.22
λ₁ tau intercept Baseline long-term coefficient	1.6619	0.24
λ₂ forecast adj. Forecast performance sensitivity	0.2198	0.22
λ₃ tau persistence Long-term factor persistence	0.6420	0.40

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Xi'An Peri Power Semiconductor Converting Technology Co Ltd MF2-GARCH Volatility Analysis

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