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	26
α ARCH Response to squared shocks	0.1784	31.82***
β GARCH Volatility persistence	0.6409	44.79***
γ leverage Additional response to negative shocks	-0.0518	-6.53***
λ₁ tau intercept Baseline long-term coefficient	0.2079	2.97***
λ₂ forecast adj. Forecast performance sensitivity	0.0392	3.06***
λ₃ tau persistence Long-term factor persistence	0.9376	49.08***

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Jinbei Automotive Co Ltd MF2-GARCH Volatility Analysis

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