CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1138	18.59***
α ARCH Response to squared shocks	0.0862	30.65***
β GARCH Volatility persistence	0.9048	331.30***
γ leverage Additional response to negative shocks	-0.0008	-0.07
δ power Transformation power	1.7874	29.24***

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