CIBC MSCI Emerging Markets Equity Index ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
25.55%
decreased by 0.11%
1 Week
25.70%
increased by 0.04%
1 Month
26.21%
increased by 0.55%
Analysis last updated: Saturday, October 17, 2026 at 09:02 AM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 17, 2021 to Oct 16, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 28 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9796 | 4.22*** |
| αARCH | 0.1257 | 4.20*** |
| βGARCH | 0.8500 | 23.56*** |
Spline Coefficients
K=1
| γ1 | -0.0364 | -0.51 |
0.976
Persistence28d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9796 | 4.22*** |
α ARCH Response to squared shocks | 0.1257 | 4.20*** |
β GARCH Volatility persistence | 0.8500 | 23.56*** |
Spline Coefficients
K=1
| γ1 | -0.0364 | -0.51 |
Persistence:
0.976
Half-life:
28 days
Other CIBC MSCI Emerging Markets Equity Index ETF Analyses
Other Zero Slope Spline-GARCH Analyses on ETFs