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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.2916	27.79***
β GARCH Volatility persistence	0.6352	43.24***
γ leverage Additional response to negative shocks	-0.2575	-14.99***
λ₁ tau intercept Baseline long-term coefficient	0.3009	1.02
λ₂ forecast adj. Forecast performance sensitivity	0.0106	2.06**
λ₃ tau persistence Long-term factor persistence	0.9837	100.21***

V-Lab

CBOE Emerging Market Markets Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Emerging Market Markets Volatility Index Analyses