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, March 11th, 2025:113.26% (+5.67%)

Analysis last updated: Tuesday, March 11, 2025 at 11:34 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.2756	25.40
$β$	0.6510	43.28
$γ$	-0.2431	-13.37
$λ_{1}$	0.2613	0.85
$λ_{2}$	0.0112	2.03
$λ_{3}$	0.9840	93.24

Estimation Period:
Mar 16, 2011 to Mar 7, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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