V-Lab
CBOE Emerging Market Markets Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
82.46%
decreased by 1.77%
1 Week
89.15%
increased by 4.92%
1 Month
102.77%
increased by 18.54%
Analysis last updated: Wednesday, August 26, 2026 at 11:35 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 16, 2011 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: volatility responds almost entirely to positive returns, rising far more after gains than after losses. This is the reverse of the usual leverage effect, rare among risky assets.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 17.80*** |
α ARCH Response to squared shocks | 0.2408 | 16.62*** |
β GARCH Volatility persistence | 0.7687 | 86.19*** |
γ leverage Additional response to negative shocks | -0.2043 | -10.30*** |
Persistence:
0.907
Half-life:
7 days
Other CBOE Emerging Market Markets Volatility Index Analyses
Other GJR-GARCH Analyses on Volatility Indices