CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.9295	5.52***
α ARCH Response to squared shocks	0.0844	19.19***
β GARCH Volatility persistence	0.9691	161.71***
ν DF Student-t tail thickness	4.2370	7.64***

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Sonda S.A. GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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