CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1677	3.32***
α ARCH Response to squared shocks	0.1446	8.28***
β GARCH Volatility persistence	0.7388	23.70***

γ₁	0.0349	0.59
γ₂	-0.0471	-0.61
γ₃	-0.0247	-0.52
γ₄	0.1050	2.48**
γ₅	-0.2071	-4.57***
γ₆	0.2547	5.22***
γ₇	-0.1756	-2.95***
γ₈	0.1788	2.07**
γ₉	-0.2423	-2.02**
γ₁₀	0.1701	0.99

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Kerry Tj Logistics Co Ltd Spline-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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