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	21
α ARCH Response to squared shocks	0.0719	7.35***
β GARCH Volatility persistence	0.8028	25.43***
γ leverage Additional response to negative shocks	-0.0487	-4.30***
λ₁ tau intercept Baseline long-term coefficient	4.6512	0.41
λ₂ forecast adj. Forecast performance sensitivity	0.7793	0.56
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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