V-Lab
CBOE Emerging Market Markets Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Thursday, August 6th, 2026
1 Day
98.46%
decreased by 4.06%
1 Week
101.80%
decreased by 0.72%
1 Month
109.03%
increased by 6.51%
Analysis last updated: Thursday, August 6, 2026 at 11:37 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 16, 2011 to Jul 31, 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 | 17.81*** |
α ARCH Response to squared shocks | 0.2410 | 16.61*** |
β GARCH Volatility persistence | 0.7684 | 85.97*** |
γ leverage Additional response to negative shocks | -0.2031 | -10.17*** |
Persistence:
0.908
Half-life:
7 days
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