CBOE Emerging Market Markets Volatility Index EGARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
89.87%
decreased by 7.89%
1 Week
94.71%
decreased by 3.05%
1 Month
105.29%
increased by 7.53%
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
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 229% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
EGARCH Model
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Inverse leverage: Positive returns increase volatility 229% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.4601 | 4.06*** |
| αARCH | 0.2627 | 5.08*** |
| βGARCH | 0.8839 | 32.50*** |
| γleverage | 0.1403 | 2.98*** |
0.884
Persistence6d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4601 | 4.06*** |
α ARCH Response to squared shocks | 0.2627 | 5.08*** |
β GARCH Volatility persistence | 0.8839 | 32.50*** |
γ leverage Additional response to negative shocks | 0.1403 | 2.98*** |
Persistence:
0.884
Half-life:
6 days
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