CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3814	3.39***
α ARCH Response to squared shocks	0.0608	7.44***
β GARCH Volatility persistence	0.9033	73.64***

γ₁	-0.0204	-1.35
γ₂	0.0282	1.41
γ₃	0.0010	0.11
γ₄	-0.0139	-2.69***

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