V-Lab
CBOE Emerging Market Markets Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
81.86%
decreased by 0.52%
1 Week
88.66%
increased by 6.28%
1 Month
102.43%
increased by 20.05%
Analysis last updated: Monday, October 5, 2026 at 11:39 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, 2026Boundary Parameters
Model 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 | 4.52*** |
| αARCH | 0.2416 | 4.18*** |
| βGARCH | 0.7671 | 21.50*** |
| γleverage | -0.2036 | -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 | 4.52*** |
α ARCH Response to squared shocks | 0.2416 | 4.18*** |
β GARCH Volatility persistence | 0.7671 | 21.50*** |
γ leverage Additional response to negative shocks | -0.2036 | -2.57** |
Persistence:
0.907
Half-life:
7 days
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