V-Lab
CBOE Emerging Market Markets Volatility Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
99.86%
decreased by 7.15%
1 Week
104.94%
decreased by 2.07%
1 Month
110.23%
increased by 3.22%
Analysis last updated: Friday, September 11, 2026 at 11:30 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 16, 2011 to Sep 4, 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 | 1.0000 | 6.54*** |
| αARCH | 0.1941 | 5.58*** |
| βGARCH | 0.5599 | 10.04*** |
Spline Coefficients
K=10
| γ1 | 0.1076 | 0.45 |
| γ2 | -0.0014 | 0.00 |
| γ3 | -0.2477 | -0.67 |
| γ4 | 0.2876 | 1.01 |
| γ5 | -0.3961 | -1.56 |
| γ6 | 0.8353 | 2.52** |
| γ7 | -1.3197 | -3.13*** |
| γ8 | 1.1994 | 2.78*** |
| γ9 | -0.7352 | -1.83* |
| γ10 | 0.3906 | 1.46 |
0.754
Persistence2d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0000 | 6.54*** |
α ARCH Response to squared shocks | 0.1941 | 5.58*** |
β GARCH Volatility persistence | 0.5599 | 10.04*** |
Spline Coefficients
K=10
| γ1 | 0.1076 | 0.45 |
| γ2 | -0.0014 | 0.00 |
| γ3 | -0.2477 | -0.67 |
| γ4 | 0.2876 | 1.01 |
| γ5 | -0.3961 | -1.56 |
| γ6 | 0.8353 | 2.52** |
| γ7 | -1.3197 | -3.13*** |
| γ8 | 1.1994 | 2.78*** |
| γ9 | -0.7352 | -1.83* |
| γ10 | 0.3906 | 1.46 |
Persistence:
0.754
Half-life:
2 days
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