CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1913	12.76***
α ARCH Response to squared shocks	0.0495	12.66***
β GARCH Volatility persistence	0.9156	233.32***
γ leverage Additional response to negative shocks	0.0035	0.53

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