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	0.0188	14.23***
α ARCH Response to squared shocks	0.0688	26.42***
β GARCH Volatility persistence	0.9254	358.13***
γ leverage Additional response to negative shocks	0.0950	2.76***

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Shanghai Shenzhen CSI 300 Index AGARCH Volatility Analysis

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