CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0807	13.55***
α ARCH Response to squared shocks	0.0696	14.05***
β GARCH Volatility persistence	0.9133	261.47***
γ leverage Additional response to negative shocks	-0.0001	-0.01

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