CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0173	18.90***
α ARCH Response to squared shocks	0.1385	20.03***
β GARCH Volatility persistence	0.9935	1,752.14***
γ leverage Additional response to negative shocks	-0.0153	-4.04***

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Shanghai Stock Exchange A Share Index EGARCH Volatility Analysis

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