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	13.87***
α ARCH Response to squared shocks	0.0640	15.79***
β GARCH Volatility persistence	0.9268	346.99***
γ leverage Additional response to negative shocks	0.0068	1.02

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Shanghai Shenzhen CSI 300 Index GJR-GARCH Volatility Analysis

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