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 Friday, December 20th, 2024:194.64% (-45.12%)

Analysis last updated: Friday, December 20, 2024 at 12:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9767	6.61
$α$	0.1844	5.03
$β$	0.5766	10.02
$γ_{1}$	0.0997	0.28
$γ_{2}$	-0.0001	-0.00
$γ_{3}$	-0.1627	-0.36
$γ_{4}$	0.0842	0.23
$γ_{5}$	-0.0719	-0.16
$γ_{6}$	0.0411	0.09
$γ_{7}$	0.5230	1.05
$γ_{8}$	-1.4583	-2.53
$γ_{9}$	1.6611	3.07
$γ_{10}$	-0.9520	-2.65

Estimation Period:
Mar 16, 2011 to Dec 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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