CBOE China ETF Volatility Index

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CBOE Volatility Index

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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	5.44***
α ARCH Response to squared shocks	0.2688	8.54***
β GARCH Volatility persistence	0.5397	9.88***
γ leverage Additional response to negative shocks	-0.2529	-1.73*
δ power Transformation power	0.6407	6.31***

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Shengfeng Development Ltd APARCH Volatility Analysis

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