CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1541	15.49***
α ARCH Response to squared shocks	0.2349	23.24***
β GARCH Volatility persistence	0.9568	264.68***
γ leverage Additional response to negative shocks	-0.0157	-2.42**

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Panbrothers Tbk EGARCH Volatility Analysis

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