CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.2913	4.15***
α ARCH Response to squared shocks	0.2716	4.33***
β GARCH Volatility persistence	0.3859	4.52***

γ₁	2.7305	3.46***
γ₂	-4.6395	-3.91***
γ₃	3.3024	4.28***
γ₄	-1.3414	-2.11**
γ₅	-0.6428	-0.90
γ₆	0.4967	0.59
γ₇	0.5113	0.49
γ₈	-1.0387	-0.80
γ₉	1.4624	1.47
γ₁₀	-1.2185	-2.87***

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CH Biotech R&D Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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