CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0123	6.63***
α ARCH Response to squared shocks	0.0519	12.06***
β GARCH Volatility persistence	0.9481	326.93***
γ leverage Additional response to negative shocks	-0.0347	-1.09
δ power Transformation power	1.9361	22.27***

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