CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0677	8.54***
α ARCH Response to squared shocks	0.1838	8.62***
β GARCH Volatility persistence	0.9309	87.90***
γ leverage Additional response to negative shocks	-0.0318	-3.61***

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