CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0514	6.58***
α ARCH Response to squared shocks	0.0790	5.39***
β GARCH Volatility persistence	0.8375	81.47***
γ leverage Additional response to negative shocks	0.0995	4.91***

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