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

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V-Lab

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

Volatility Prediction for Wednesday, December 11th, 2024:136.95% (-11.34%)

Analysis last updated: Wednesday, December 11, 2024 at 12:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9783	6.61
$α$	0.1850	5.04
$β$	0.5757	10.01
$γ_{1}$	0.1009	0.28
$γ_{2}$	-0.0027	-0.00
$γ_{3}$	-0.1599	-0.35
$γ_{4}$	0.0824	0.22
$γ_{5}$	-0.0719	-0.16
$γ_{6}$	0.0420	0.09
$γ_{7}$	0.5222	1.05
$γ_{8}$	-1.4578	-2.52
$γ_{9}$	1.6617	3.05
$γ_{10}$	-0.9570	-2.62

Estimation Period:
Mar 16, 2011 to Dec 6, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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