CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0313	13.57***
α ARCH Response to squared shocks	0.0529	14.32***
β GARCH Volatility persistence	0.9431	430.44***
γ leverage Additional response to negative shocks	-0.0029	-0.45

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