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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9976	6.51***
α ARCH Response to squared shocks	0.1948	5.56***
β GARCH Volatility persistence	0.5639	10.13***

γ₁	0.1036	0.42
γ₂	0.0069	0.02
γ₃	-0.2578	-0.69
γ₄	0.3040	1.07
γ₅	-0.4235	-1.65*
γ₆	0.8635	2.53**
γ₇	-1.3128	-3.02***
γ₈	1.1313	2.51**
γ₉	-0.6250	-1.48
γ₁₀	0.3016	1.07

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