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	0.1897	17.48***
β GARCH Volatility persistence	0.8163	55.24***
γ leverage Additional response to negative shocks	-0.0139	-0.57
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.71
λ₂ forecast adj. Forecast performance sensitivity	0.1409	0.69
λ₃ tau persistence Long-term factor persistence	0.8591	4.04***

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Trust Finance Indonesia Tbk PT MF2-GARCH Volatility Analysis

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