CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0939	15.87***
α ARCH Response to squared shocks	0.0396	13.30***
β GARCH Volatility persistence	0.8875	248.66***
γ leverage Additional response to negative shocks	0.0822	7.83***

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Sonda S.A. GJR-GARCH Volatility Analysis

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