CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	3.9449	6.47***
α ARCH Response to squared shocks	0.0569	72.42***
β GARCH Volatility persistence	0.9977	3,271.06***
ν DF Student-t tail thickness	5.7377	18.23***

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Taiwan Stock Exchange Weighted Index GAS-GARCH Student T Volatility Analysis

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