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 Thursday, May 8th, 2025:121.08% (-1.71%)

Analysis last updated: Thursday, May 8, 2025 at 11:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9884	6.50
$α$	0.1951	5.36
$β$	0.5608	9.80
$γ_{1}$	0.1092	0.48
$γ_{2}$	-0.0110	-0.03
$γ_{3}$	-0.2248	-0.62
$γ_{4}$	0.2410	0.82
$γ_{5}$	-0.3089	-1.21
$γ_{6}$	0.7276	2.28
$γ_{7}$	-1.2754	-3.16
$γ_{8}$	1.2491	3.35
$γ_{9}$	-0.6682	-2.84

Estimation Period:
Mar 16, 2011 to May 2, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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