CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0127	17.28***
α ARCH Response to squared shocks	0.2073	58.84***
β GARCH Volatility persistence	0.9799	1,306.53***
γ leverage Additional response to negative shocks	-0.0382	-12.50***

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