CBOE Emerging Market Markets Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
93.46%
increased by 4.44%
1 Week
97.71%
increased by 8.69%
1 Month
106.70%
increased by 17.68%
Analysis last updated: Friday, October 30, 2026 at 11:30 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
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
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Inverse leverage: volatility responds almost entirely to positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.0000 | 4.56*** |
| αARCH | 0.2416 | 4.19*** |
| βGARCH | 0.7669 | 21.52*** |
| γleverage | -0.2033 | -2.57** |
0.907
Persistence7d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 4.56*** |
α ARCH Response to squared shocks | 0.2416 | 4.19*** |
β GARCH Volatility persistence | 0.7669 | 21.52*** |
γ leverage Additional response to negative shocks | -0.2033 | -2.57** |
Persistence:
0.907
Half-life:
7 days
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