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 Friday, December 20th, 2024:231.52% (-43.16%)

Analysis last updated: Friday, December 20, 2024 at 12:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.2799	25.68
$β$	0.6614	46.30
$γ$	-0.2555	-14.16
$λ_{1}$	0.2225	0.84
$λ_{2}$	0.0105	2.16
$λ_{3}$	0.9856	109.30

Estimation Period:
Mar 16, 2011 to Dec 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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