CBOE China ETF Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2145	15.00***
α ARCH Response to squared shocks	0.0966	11.64***
β GARCH Volatility persistence	0.7877	72.74***
γ leverage Additional response to negative shocks	0.0024	0.17

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Nancal Technology Co.,Ltd GJR-GARCH Volatility Analysis

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