CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.3266	17.83***
β GARCH Volatility persistence	0.5108	21.10***
γ leverage Additional response to negative shocks	-0.2718	-14.72***
λ₁ tau intercept Baseline long-term coefficient	2.0369	0.75
λ₂ forecast adj. Forecast performance sensitivity	0.6103	0.76
λ₃ tau persistence Long-term factor persistence	0.0904	0.07

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