CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0706	21.91***
β GARCH Volatility persistence	0.7150	87.20***
γ leverage Additional response to negative shocks	0.1399	25.23***
λ₁ tau intercept Baseline long-term coefficient	0.0025	4.58***
λ₂ forecast adj. Forecast performance sensitivity	0.0445	8.93***
λ₃ tau persistence Long-term factor persistence	0.9530	177.96***

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