V-Lab: CBOE Emerging Market Markets Volatility Index Spline-GARCH Volatility Analysis

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V-Lab

CBOE Emerging Market Markets Volatility Index Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:105.88% (-11.87%)

Analysis last updated: Friday, April 26, 2024 at 11:31 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0688	6.50
$α$	0.1952	4.98
$β$	0.5349	8.66
$γ_{1}$	0.1938	1.68
$γ_{2}$	-0.2237	-1.23
$γ_{3}$	0.0518	0.30
$γ_{4}$	-0.1305	-0.67
$γ_{5}$	0.4579	2.04
$γ_{6}$	-0.8722	-3.08
$γ_{7}$	0.9578	2.62

Estimation Period:
Mar 16, 2011 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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