CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5942	7.56***
α ARCH Response to squared shocks	0.1364	31.05***
β GARCH Volatility persistence	0.9738	285.00***
ν DF Student-t tail thickness	5.8090	9.01***

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MSCI COLCAP Index GAS-GARCH Student T Volatility Analysis

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