CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.2803	25.47***
β GARCH Volatility persistence	0.3825	24.13***
γ leverage Additional response to negative shocks	-0.1014	-5.59***
λ₁ tau intercept Baseline long-term coefficient	2.6964	1.52
λ₂ forecast adj. Forecast performance sensitivity	0.7329	6.28***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Kafr El-Zayat Pesticides & Chemicals Co MF2-GARCH Volatility Analysis

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