CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0331	28.34***
α ARCH Response to squared shocks	0.3356	62.12***
β GARCH Volatility persistence	0.9609	800.12***
γ leverage Additional response to negative shocks	-0.0241	-6.54***

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