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

V-Lab

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

Volatility Prediction for Friday, May 30th, 2025:134.23% (-4.53%)

Analysis last updated: Friday, May 30, 2025 at 11:37 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9964	6.53
$α$	0.1968	5.42
$β$	0.5582	9.76
$γ_{1}$	0.1192	0.54
$γ_{2}$	-0.0277	-0.07
$γ_{3}$	-0.2101	-0.59
$γ_{4}$	0.2196	0.74
$γ_{5}$	-0.2737	-1.06
$γ_{6}$	0.6828	2.16
$γ_{7}$	-1.2496	-3.12
$γ_{8}$	1.2624	3.41
$γ_{9}$	-0.6953	-3.08

Estimation Period:
Mar 16, 2011 to May 23, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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