CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0221	20.31***
α ARCH Response to squared shocks	0.2029	48.26***
β GARCH Volatility persistence	0.7631	234.07***
γ leverage Additional response to negative shocks	0.0680	9.30***

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