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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	17.84***
α ARCH Response to squared shocks	0.2430	16.72***
β GARCH Volatility persistence	0.7676	85.85***
γ leverage Additional response to negative shocks	-0.2046	-10.20***

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CBOE Emerging Market Markets Volatility Index GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Emerging Market Markets Volatility Index Analyses