CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	3.3033	3.10***
α ARCH Response to squared shocks	0.1570	8.91***
β GARCH Volatility persistence	0.8143	48.11***

γ₁	0.2838	4.47***
γ₂	-0.5591	-5.66***
γ₃	0.5825	7.50***
γ₄	-0.5407	-5.80***
γ₅	0.3525	3.42***
γ₆	-0.1114	-1.10
γ₇	-0.1562	-1.19
γ₈	0.5164	2.05**

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Panbrothers Tbk Spline-GARCH Volatility Analysis

Date Range:

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