CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.1783	19.10***
β GARCH Volatility persistence	0.7973	82.52***
γ leverage Additional response to negative shocks	-0.0802	-5.17***
λ₁ tau intercept Baseline long-term coefficient	17.3226

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