CBOE Emerging Market Markets Volatility Index

EURO STOXX 50 Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0576	22.69***
β GARCH Volatility persistence	0.8040	98.35***
γ leverage Additional response to negative shocks	0.0858	17.84***
λ₁ tau intercept Baseline long-term coefficient	0.0093	6.41***
λ₂ forecast adj. Forecast performance sensitivity	0.0378	6.43***
λ₃ tau persistence Long-term factor persistence	0.9577	151.89***

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