CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0924	31.45***
α ARCH Response to squared shocks	0.1873	29.14***
β GARCH Volatility persistence	0.7223	159.70***
γ leverage Additional response to negative shocks	0.0860	7.84***

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