CBOE Emerging Market Markets Volatility Index

EURO STOXX 50 Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	4.26***
α ARCH Response to squared shocks	0.2129	14.06***
β GARCH Volatility persistence	0.6769	32.57***
γ leverage Additional response to negative shocks	-0.0396	-1.58
δ power Transformation power	1.5455	7.73***

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Bati EGE Gayrimenkul Yatirim APARCH Volatility Analysis

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