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	0.0175	14.53***
α ARCH Response to squared shocks	0.0613	16.90***
β GARCH Volatility persistence	0.9238	332.88***
γ leverage Additional response to negative shocks	0.0260	5.31***

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Shanghai Stock Exchange A Share Index GJR-GARCH Volatility Analysis

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