CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0062	8.08***
α ARCH Response to squared shocks	0.2091	48.99***
β GARCH Volatility persistence	0.9856	1,544.87***
γ leverage Additional response to negative shocks	-0.0475	-14.59***

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