CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0270	15.51***
α ARCH Response to squared shocks	0.2030	49.09***
β GARCH Volatility persistence	0.9827	1,044.36***
γ leverage Additional response to negative shocks	-0.0513	-10.28***

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Stock Exchange of Thailand SET 50 Index EGARCH Volatility Analysis

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