CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	3.4023	3.04***
α ARCH Response to squared shocks	0.1541	9.09***
β GARCH Volatility persistence	0.8232	52.19***

γ₁	0.2690	3.99***
γ₂	-0.5392	-5.13***
γ₃	0.5794	6.95***
γ₄	-0.5501	-5.52***
γ₅	0.3754	3.46***
γ₆	-0.1622	-1.55
γ₇	-0.0339	-0.29
γ₈	0.1145	1.07

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Panbrothers Tbk Zero Slope Spline-GARCH Volatility Analysis

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