CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	106
α ARCH Response to squared shocks	0.0272	7.41***
β GARCH Volatility persistence	0.8597	157.97***
γ leverage Additional response to negative shocks	0.0953	18.93***
λ₁ tau intercept Baseline long-term coefficient	0.7023	0.20
λ₂ forecast adj. Forecast performance sensitivity	0.7500	0.20
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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