V-Lab
CBOE Emerging Market Markets Volatility Index APARCH Volatility Analysis
Volatility prediction for Friday, October 2nd, 2026
1 Day
82.60%
1 Week
90.34%
1 Month
107.08%
Analysis last updated: Friday, October 2, 2026 at 11:31 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 16, 2011 to Sep 25, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 354% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets. The volatility power δ = 1.09 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9434 | 1.90* |
| αARCH | 0.1520 | 4.13*** |
| βGARCH | 0.7751 | 16.58*** |
| γleverage | -0.6006 | -2.83*** |
| δpower | 1.0900 | 4.34*** |
0.899
Persistence7d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9434 | 1.90* |
α ARCH Response to squared shocks | 0.1520 | 4.13*** |
β GARCH Volatility persistence | 0.7751 | 16.58*** |
γ leverage Additional response to negative shocks | -0.6006 | -2.83*** |
δ power Transformation power | 1.0900 | 4.34*** |
Persistence:
0.899
Half-life:
7 days
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