CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.1985	5.49***
β GARCH Volatility persistence	0.4650	10.82***
γ leverage Additional response to negative shocks	-0.0054	-0.17
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.23
λ₂ forecast adj. Forecast performance sensitivity	0.7680	0.24
λ₃ tau persistence Long-term factor persistence	0.1285	0.04

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