CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1339	3.22***
α ARCH Response to squared shocks	0.1444	8.29***
β GARCH Volatility persistence	0.7402	24.08***

γ₁	0.0244	0.41
γ₂	-0.0375	-0.48
γ₃	-0.0154	-0.32
γ₄	0.0845	1.98**
γ₅	-0.1831	-4.01***
γ₆	0.2325	4.78***
γ₇	-0.1580	-2.76***
γ₈	0.1670	2.13**
γ₉	-0.2358	-2.54**
γ₁₀	0.1690	2.11**

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Kerry Tj Logistics Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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