CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	116
α ARCH Response to squared shocks	0.1040	17.29***
β GARCH Volatility persistence	0.7537	110.91***
γ leverage Additional response to negative shocks	0.0581	7.70***
λ₁ tau intercept Baseline long-term coefficient	0.3567	2.67***
λ₂ forecast adj. Forecast performance sensitivity	0.9051	6.01***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Kerry Tj Logistics Co Ltd MF2-GARCH Volatility Analysis

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