CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0000
α ARCH Response to squared shocks	0.2005	267.38***
β GARCH Volatility persistence	0.9990
ν DF Student-t tail thickness	7.5715	130.35***

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Indonesia Prima Prop (Pt) GAS-GARCH Student T Volatility Analysis

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News Impact Curve

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