CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0563	6.06***
α ARCH Response to squared shocks	0.1244	10.27***
β GARCH Volatility persistence	0.8946	101.47***
γ leverage Additional response to negative shocks	-0.0379	-3.22***

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Dana Brata Luhur Tbk PT GJR-GARCH Volatility Analysis

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