CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0022	0.68
β GARCH Volatility persistence	0.7502	106.22***
γ leverage Additional response to negative shocks	0.2045	40.54***
λ₁ tau intercept Baseline long-term coefficient	0.0105	2.54**
λ₂ forecast adj. Forecast performance sensitivity	0.0626	4.69***
λ₃ tau persistence Long-term factor persistence	0.9326	63.37***

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