CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0478	23.86***
α ARCH Response to squared shocks	0.0941	15.60***
β GARCH Volatility persistence	0.8809	173.21***
γ leverage Additional response to negative shocks	0.2052	13.37***
δ power Transformation power	1.9878	30.27***

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