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 Monday, May 19th, 2025:132.68% (+9.72%)

Analysis last updated: Monday, May 19, 2025 at 11:39 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9905	6.49
$α$	0.1957	5.38
$β$	0.5624	9.86
$γ_{1}$	0.1112	0.50
$γ_{2}$	-0.0162	-0.04
$γ_{3}$	-0.2171	-0.60
$γ_{4}$	0.2292	0.77
$γ_{5}$	-0.2903	-1.13
$γ_{6}$	0.7040	2.21
$γ_{7}$	-1.2591	-3.12
$γ_{8}$	1.2455	3.35
$γ_{9}$	-0.6675	-2.92

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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