V-Lab
CBOE Emerging Market Markets Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
89.39%
increased by 10.51%
1 Week
95.69%
increased by 16.81%
1 Month
106.84%
increased by 27.96%
Analysis last updated: Monday, October 5, 2026 at 11:40 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 2, 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 = 4.45 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 = 4.45 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 53.0768 | 3.18*** |
| αARCH | 0.1498 | 4.67*** |
| βGARCH | 0.8777 | 23.89*** |
| νDF | 4.4522 | 1.86* |
0.878
Persistence5d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 53.0768 | 3.18*** |
α ARCH Response to squared shocks | 0.1498 | 4.67*** |
β GARCH Volatility persistence | 0.8777 | 23.89*** |
ν DF Student-t tail thickness | 4.4522 | 1.86* |
Persistence:
0.878
Half-life:
5 days
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