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	46
α ARCH Response to squared shocks	0.1514	11.42***
β GARCH Volatility persistence	0.8117	69.00***
γ leverage Additional response to negative shocks	-0.0685	-4.54***
λ₁ tau intercept Baseline long-term coefficient	5.5963	0.20
λ₂ forecast adj. Forecast performance sensitivity	0.3675	0.18
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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