CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.1254	25.32***
β GARCH Volatility persistence	0.6784	59.92***
γ leverage Additional response to negative shocks	0.0092	1.32
λ₁ tau intercept Baseline long-term coefficient	1.9024	0.91
λ₂ forecast adj. Forecast performance sensitivity	0.6882	0.84
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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