CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1212	19.12***
β GARCH Volatility persistence	0.5956	30.54***
γ leverage Additional response to negative shocks	0.0417	4.41***
λ₁ tau intercept Baseline long-term coefficient	0.0108	1.24
λ₂ forecast adj. Forecast performance sensitivity	0.0251	2.22**
λ₃ tau persistence Long-term factor persistence	0.9729	80.40***

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