V-Lab: CBOE Emerging Market Markets Volatility Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

CBOE Emerging Market Markets Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:88.32% (-0.97%)

Analysis last updated: Thursday, May 2, 2024 at 11:49 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0705	6.46
$α$	0.2017	5.08
$β$	0.5274	8.59
$γ_{1}$	0.1872	1.61
$γ_{2}$	-0.2117	-1.16
$γ_{3}$	0.0387	0.22
$γ_{4}$	-0.1079	-0.56
$γ_{5}$	0.4108	1.89
$γ_{6}$	-0.7635	-3.05
$γ_{7}$	0.6483	3.25

Estimation Period:
Mar 16, 2011 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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