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	1.5629	4.19***
α ARCH Response to squared shocks	0.0935	2.45**
β GARCH Volatility persistence	0.7133	6.42***

γ₁	2.8397	0.78
γ₂	-4.0511	-0.73
γ₃	0.9673	0.29
γ₄	0.2522	0.10
γ₅	-0.4036	-0.19
γ₆	3.0960	1.48
γ₇	-3.5840	-1.29
γ₈	-2.8548	-0.87
γ₉	9.6972	4.62***
γ₁₀	-8.9545	-5.21***

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Xi'An Peri Power Semiconductor Converting Technology Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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