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	1.1098	6.66***
α ARCH Response to squared shocks	0.1069	3.40***
β GARCH Volatility persistence	0.8195	15.62***

γ₁	0.3618	3.47***
γ₂	-0.5044	-3.69***

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Shanghai Model Organisms Center Inc Zero Slope Spline-GARCH Volatility Analysis

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