CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2395	1.28
α ARCH Response to squared shocks	0.1204	5.14***
β GARCH Volatility persistence	0.8405	29.91***

γ₁	0.2271	0.54
γ₂	-0.6391	-1.20
γ₃	0.6407	4.01***
γ₄	-0.0714	-0.51
γ₅	-0.5534	-4.80***
γ₆	0.7471	6.88***
γ₇	-0.7533	-5.89***
γ₈	0.7190	8.00***
γ₉	-0.4173	-5.05***
γ₁₀	0.1326	1.61

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Rabbit Holdings PCL Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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