CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0980	14.89***
β GARCH Volatility persistence	0.7084	42.46***
γ leverage Additional response to negative shocks	0.0849	11.54***
λ₁ tau intercept Baseline long-term coefficient	0.4398	1.14
λ₂ forecast adj. Forecast performance sensitivity	0.8078	1.02
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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