CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.3311	3.92***
α ARCH Response to squared shocks	0.2451	5.70***
β GARCH Volatility persistence	0.4621	7.67***

γ₁	0.4303	2.16**
γ₂	-0.6284	-2.01**
γ₃	0.4562	2.33**
γ₄	-0.5381	-4.00***
γ₅	0.3430	3.07***
γ₆	0.0631	0.66
γ₇	-0.2081	-2.39**
γ₈	0.1217	1.06
γ₉	-0.1270	-0.78
γ₁₀	0.1032	0.50

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

Date Range:

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