CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.0527	10.71***
β GARCH Volatility persistence	0.7658	36.25***
γ leverage Additional response to negative shocks	0.0869	6.42***
λ₁ tau intercept Baseline long-term coefficient	0.0309	1.06
λ₂ forecast adj. Forecast performance sensitivity	0.0088	1.07
λ₃ tau persistence Long-term factor persistence	0.9874	86.38***

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Guan Chong Bhd MF2-GARCH Volatility Analysis

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