V-Lab: ICE BofA EMEA Emerging Markets Corporate Plus Index MF2-GARCH Volatility Analysis

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V-Lab

ICE BofA EMEA Emerging Markets Corporate Plus Index MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, January 8th, 2024:3.94% (-0.02%)

Analysis last updated: Monday, January 8, 2024 at 05:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.1661	23.45
$β$	0.5961	37.08
$γ$	0.2062	17.60
$λ_{1}$	0.0005	4.68
$λ_{2}$	0.1002	5.50
$λ_{3}$	0.8949	45.73

Estimation Period:
Jan 1, 1999 to Jan 5, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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