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 Monday, May 6th, 2024:130.94% (-8.67%)

Analysis last updated: Monday, May 6, 2024 at 11:35 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.2811	26.34
$β$	0.6160	35.64
$γ$	-0.2504	-12.55
$λ_{1}$	0.2153	0.72
$λ_{2}$	0.0097	1.55
$λ_{3}$	0.9861	92.59

Estimation Period:
Mar 16, 2011 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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