CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1186	21.80***
β GARCH Volatility persistence	0.5584	31.53***
γ leverage Additional response to negative shocks	0.0456	6.93***
λ₁ tau intercept Baseline long-term coefficient	0.3831	0.88
λ₂ forecast adj. Forecast performance sensitivity	0.1754	1.05
λ₃ tau persistence Long-term factor persistence	0.7755	3.44***

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