CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0301	8.67***
α ARCH Response to squared shocks	0.0171	8.00***
β GARCH Volatility persistence	0.9777	824.35***
γ leverage Additional response to negative shocks	0.0046	1.27

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Guan Chong Bhd GJR-GARCH Volatility Analysis

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