CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0064	13.25***
α ARCH Response to squared shocks	0.1091	45.50***
β GARCH Volatility persistence	0.8869	416.38***
γ leverage Additional response to negative shocks	0.1791	18.78***

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