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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9976	6.48***
α ARCH Response to squared shocks	0.1946	5.55***
β GARCH Volatility persistence	0.5693	10.30***

γ₁	0.1063	0.43
γ₂	0.0027	0.01
γ₃	-0.2571	-0.68
γ₄	0.3099	1.09
γ₅	-0.4377	-1.69*
γ₆	0.8794	2.54**
γ₇	-1.3123	-2.97***
γ₈	1.1057	2.40**
γ₉	-0.5953	-1.37
γ₁₀	0.2890	1.01

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