CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.6538	6.51***
α ARCH Response to squared shocks	0.1200	10.24***
β GARCH Volatility persistence	0.8594	80.53***
γ leverage Additional response to negative shocks	0.0107	0.61

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