CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9735	8.68***
α ARCH Response to squared shocks	0.1355	7.13***
β GARCH Volatility persistence	0.7491	22.29***

γ₁	0.0978	1.95*
γ₂	-0.1017	-1.36
γ₃	-0.0672	-1.30
γ₄	0.1891	3.18***
γ₅	-0.2824	-3.58***
γ₆	0.3948	4.06***
γ₇	-0.3521	-3.86***
γ₈	0.1258	2.14**

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G-Shank Enterprise Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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