CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.1047	13.64***
β GARCH Volatility persistence	0.6698	18.44***
γ leverage Additional response to negative shocks	0.0084	0.98
λ₁ tau intercept Baseline long-term coefficient	0.1810	1.10
λ₂ forecast adj. Forecast performance sensitivity	0.1235	0.91
λ₃ tau persistence Long-term factor persistence	0.8316	4.80***

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