CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3321	20.14***
α ARCH Response to squared shocks	0.1126	19.50***
β GARCH Volatility persistence	0.8400	176.78***
γ leverage Additional response to negative shocks	-0.0081	-0.76

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