CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0211	11.40***
α ARCH Response to squared shocks	0.1754	18.12***
β GARCH Volatility persistence	0.9777	594.32***
γ leverage Additional response to negative shocks	-0.0498	-12.59***

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