CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0144	24.63***
α ARCH Response to squared shocks	0.1933	36.25***
β GARCH Volatility persistence	0.7658	227.85***
γ leverage Additional response to negative shocks	0.0661	8.85***

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FTSE Bursa Malaysia KLCI Index - Kuala Lumpur Composite Index Asy. MEM Volatility Analysis

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