CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6581	1.03
α ARCH Response to squared shocks	0.2129	4.45***
β GARCH Volatility persistence	0.6193	8.92***

γ₁	19.3168	2.23**
γ₂	-33.1421	-3.05***
γ₃	17.7646	3.38***
γ₄	-4.4416	-0.81
γ₅	0.8186	0.19
γ₆	0.0931	0.02
γ₇	-1.7948	-0.32
γ₈	8.9496	1.94*
γ₉	-16.0609	-6.26***
γ₁₀	10.8779	4.76***

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Dana Brata Luhur Tbk PT Zero Slope Spline-GARCH Volatility Analysis

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