CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4488	8.56***
α ARCH Response to squared shocks	0.1737	7.46***
β GARCH Volatility persistence	0.7619	30.84***

γ₁	0.0222	4.73***
γ₂	-0.0277	-4.62***

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MSCI COLCAP Index Zero Slope Spline-GARCH Volatility Analysis

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