CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	2.72***
α ARCH Response to squared shocks	0.0915	13.96***
β GARCH Volatility persistence	0.9078	146.39***
γ leverage Additional response to negative shocks	0.0541	1.61
δ power Transformation power	1.8681	17.80***

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