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	0.0168	16.59***
α ARCH Response to squared shocks	0.1443	24.77***
β GARCH Volatility persistence	0.9902	1,204.60***
γ leverage Additional response to negative shocks	-0.0041	-0.88

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Shanghai Shenzhen CSI 300 Index EGARCH Volatility Analysis

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