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	21
α ARCH Response to squared shocks	0.1507	8.25***
β GARCH Volatility persistence	0.4232	15.63***
γ leverage Additional response to negative shocks	0.2154	7.06***
λ₁ tau intercept Baseline long-term coefficient	0.0065	0.41
λ₂ forecast adj. Forecast performance sensitivity	0.0153	1.67*
λ₃ tau persistence Long-term factor persistence	0.9811	77.99***

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