CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.7724	6.59***
α ARCH Response to squared shocks	0.0638	13.56***
β GARCH Volatility persistence	0.9715	193.17***
ν DF Student-t tail thickness	5.4497	3.94***

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Grupo Comercial Chedraui SA de CV GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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