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	0.8870	5.66***
α ARCH Response to squared shocks	0.1228	7.99***
β GARCH Volatility persistence	0.8036	67.71***
γ leverage Additional response to negative shocks	-0.1983	-5.75***
δ power Transformation power	1.9289	11.21***

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