V-Lab
CBOE Emerging Market Markets Volatility Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
79.49%
decreased by 0.47%
1 Week
87.51%
increased by 7.55%
1 Month
95.39%
increased by 15.43%
Analysis last updated: Thursday, October 1, 2026 at 11:35 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 16, 2011 to Sep 25, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 2 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9991 | 6.55*** |
| αARCH | 0.1943 | 5.62*** |
| βGARCH | 0.5553 | 9.92*** |
Spline Coefficients
K=10
| γ1 | 0.1040 | 0.45 |
| γ2 | 0.0015 | 0.00 |
| γ3 | -0.2419 | -0.66 |
| γ4 | 0.2706 | 0.94 |
| γ5 | -0.3644 | -1.45 |
| γ6 | 0.7999 | 2.46** |
| γ7 | -1.3156 | -3.19*** |
| γ8 | 1.2504 | 3.01*** |
| γ9 | -0.8198 | -2.15** |
| γ10 | 0.4588 | 1.76* |
0.750
Persistence2d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9991 | 6.55*** |
α ARCH Response to squared shocks | 0.1943 | 5.62*** |
β GARCH Volatility persistence | 0.5553 | 9.92*** |
Spline Coefficients
K=10
| γ1 | 0.1040 | 0.45 |
| γ2 | 0.0015 | 0.00 |
| γ3 | -0.2419 | -0.66 |
| γ4 | 0.2706 | 0.94 |
| γ5 | -0.3644 | -1.45 |
| γ6 | 0.7999 | 2.46** |
| γ7 | -1.3156 | -3.19*** |
| γ8 | 1.2504 | 3.01*** |
| γ9 | -0.8198 | -2.15** |
| γ10 | 0.4588 | 1.76* |
Persistence:
0.750
Half-life:
2 days
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