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	2.9414	4.77***
α ARCH Response to squared shocks	0.0512	48.80***
β GARCH Volatility persistence	0.9957	1,286.50***
ν DF Student-t tail thickness	4.7469	15.32***

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Shanghai Shenzhen CSI 300 Index GAS-GARCH Student T Volatility Analysis

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