CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	20.2588	7.19***
α ARCH Response to squared shocks	0.0646	96.59***
β GARCH Volatility persistence	0.9990	7,291.97***
ν DF Student-t tail thickness	2.8965	293.67***

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G-Shank Enterprise Co Ltd GAS-GARCH Student T Volatility Analysis

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