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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9966	6.52***
α ARCH Response to squared shocks	0.1945	5.57***
β GARCH Volatility persistence	0.5607	10.03***

γ₁	0.1050	0.43
γ₂	0.0022	0.01
γ₃	-0.2506	-0.68
γ₄	0.2942	1.03
γ₅	-0.4091	-1.61
γ₆	0.8496	2.53**
γ₇	-1.3170	-3.08***
γ₈	1.1647	2.64***
γ₉	-0.6745	-1.63
γ₁₀	0.3386	1.22

V-Lab

CBOE Emerging Market Markets Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Emerging Market Markets Volatility Index Analyses