V-Lab: CBOE Emerging Market Markets Volatility Index MF2-GARCH Volatility Analysis

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V-Lab

CBOE Emerging Market Markets Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, January 21st, 2025:109.43% (+0.14%)

Analysis last updated: Monday, January 20, 2025 at 12:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.2783	25.65
$β$	0.6509	43.33
$γ$	-0.2481	-13.66
$λ_{1}$	0.2312	0.83
$λ_{2}$	0.0111	2.12
$λ_{3}$	0.9848	101.81

Estimation Period:
Mar 16, 2011 to Jan 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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