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 Monday, June 30th, 2025:125.53% (+1.54%)

Analysis last updated: Monday, June 30, 2025 at 11:39 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9942	6.50
$α$	0.1971	5.48
$β$	0.5587	9.81
$γ_{1}$	0.1215	0.56
$γ_{2}$	-0.0351	-0.09
$γ_{3}$	-0.1980	-0.56
$γ_{4}$	0.2001	0.67
$γ_{5}$	-0.2389	-0.92
$γ_{6}$	0.6364	2.03
$γ_{7}$	-1.2208	-3.06
$γ_{8}$	1.2751	3.47
$γ_{9}$	-0.7219	-3.34

Estimation Period:
Mar 16, 2011 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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