CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4549	11.39***
α ARCH Response to squared shocks	0.2329	10.18***
β GARCH Volatility persistence	0.7915	68.89***
γ leverage Additional response to negative shocks	-0.1556	-5.95***

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CH Biotech R&D Co Ltd GJR-GARCH Volatility Analysis

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