CBOE Emerging Market Markets Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
93.25%
increased by 7.22%
1 Week
98.49%
increased by 12.46%
1 Month
107.90%
increased by 21.87%
Analysis last updated: Friday, October 30, 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 23, 2026Model Insight
Volatility shocks decay with a half-life of 5 trading days, meaning a shock loses half its impact after approximately 5 days. Returns follow a Student-t distribution with v = 4.50 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 5-day half-lifev = 4.50 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 52.8846 | 3.26*** |
| αscore | 0.1489 | 4.69*** |
| βpersistence | 0.8775 | 24.53*** |
| νDF | 4.5049 | 1.83* |
0.878
Persistence5d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 52.8846 | 3.26*** |
α score Weight on the scaled score | 0.1489 | 4.69*** |
β persistence Volatility persistence | 0.8775 | 24.53*** |
ν DF Student-t tail thickness | 4.5049 | 1.83* |
Persistence:
0.878
Half-life:
5 days
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