CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1681	9.41***
α ARCH Response to squared shocks	0.1179	18.67***
β GARCH Volatility persistence	0.8821	181.09***
γ leverage Additional response to negative shocks	0.1299	4.12***
δ power Transformation power	1.9564	24.69***

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