CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.1540	11.50***
β GARCH Volatility persistence	0.7875	34.08***
γ leverage Additional response to negative shocks	-0.0947	-8.03***
λ₁ tau intercept Baseline long-term coefficient	2.1112	0.69
λ₂ forecast adj. Forecast performance sensitivity	0.1639	0.80
λ₃ tau persistence Long-term factor persistence	0.6668	1.48

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