CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0270	22.52***
α ARCH Response to squared shocks	0.0855	23.04***
β GARCH Volatility persistence	0.8574	301.79***
γ leverage Additional response to negative shocks	0.0841	13.21***

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