CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2108	15.49***
α ARCH Response to squared shocks	0.2506	23.06***
β GARCH Volatility persistence	0.9534	252.43***
γ leverage Additional response to negative shocks	-0.0414	-5.43***

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Indonesia Prima Prop (Pt) EGARCH Volatility Analysis

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