CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

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Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	0.3768	3.04***
αARCH	0.1504	2.66***
βGARCH	0.8449	27.52***
γleverage	-0.0393	-0.45

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3768	3.04***
α ARCH Response to squared shocks	0.1504	2.66***
β GARCH Volatility persistence	0.8449	27.52***
γ leverage Additional response to negative shocks	-0.0393	-0.45

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