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	46
α ARCH Response to squared shocks	0.1220	14.49***
β GARCH Volatility persistence	0.7138	47.09***
γ leverage Additional response to negative shocks	-0.0339	-3.70***
λ₁ tau intercept Baseline long-term coefficient	2.5517	0.23
λ₂ forecast adj. Forecast performance sensitivity	0.7565	0.23
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Leshan Giantstar Farming & Husbandry Corp Ltd MF2-GARCH Volatility Analysis

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