CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3691	30.10***
α ARCH Response to squared shocks	0.2755	38.76***
β GARCH Volatility persistence	0.6281	99.21***
γ leverage Additional response to negative shocks	-0.4710	-5.66***

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Kafr El-Zayat Pesticides & Chemicals Co AGARCH Volatility Analysis

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