CBOE Emerging Market Markets Volatility Index AGARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
95.30%
decreased by 5.86%
1 Week
101.52%
increased by 0.36%
1 Month
112.33%
increased by 11.17%
Analysis last updated: Friday, October 16, 2026 at 11:31 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 16, 2011 to Oct 9, 2026Model Insight
The news-impact curve is shifted (γ = -3.24) so that positive returns raise next-day volatility more than negative returns of the same size. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and rare among risky assets.
σ
AGARCH Model
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Asymmetry: positive returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.6038 | 4.14*** |
| αARCH | 0.1655 | 5.55*** |
| βGARCH | 0.7073 | 18.12*** |
| γleverage | -3.2418 | -2.46** |
0.873
Persistence5d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.6038 | 4.14*** |
α ARCH Response to squared shocks | 0.1655 | 5.55*** |
β GARCH Volatility persistence | 0.7073 | 18.12*** |
γ leverage Additional response to negative shocks | -3.2418 | -2.46** |
Persistence:
0.873
Half-life:
5 days
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