CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0541	17.95***
β GARCH Volatility persistence	0.8684	157.88***
γ leverage Additional response to negative shocks	0.0451	7.08***
λ₁ tau intercept Baseline long-term coefficient	0.0047	5.54***
λ₂ forecast adj. Forecast performance sensitivity	0.0120	6.54***
λ₃ tau persistence Long-term factor persistence	0.9868	497.15***

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