CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0434	5.07***
β GARCH Volatility persistence	0.6766	23.24***
γ leverage Additional response to negative shocks	0.0803	6.34***
λ₁ tau intercept Baseline long-term coefficient	0.0680	0.80
λ₂ forecast adj. Forecast performance sensitivity	0.2380	1.04
λ₃ tau persistence Long-term factor persistence	0.7413	2.91***

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