CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0512	3.41***
α ARCH Response to squared shocks	0.0221	9.17***
β GARCH Volatility persistence	0.9718	330.76***
γ leverage Additional response to negative shocks	0.5791	2.94***

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