CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2834	6.66***
α ARCH Response to squared shocks	0.1761	7.45***
β GARCH Volatility persistence	0.7546	29.46***

γ₁	0.0025	0.17
γ₂	0.0261	1.18
γ₃	-0.0700	-2.68***

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MSCI COLCAP Index Spline-GARCH Volatility Analysis

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