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 Tuesday, March 11th, 2025:125.78% (+4.02%)

Analysis last updated: Tuesday, March 11, 2025 at 11:34 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9865	6.57
$α$	0.1908	5.21
$β$	0.5694	9.99
$γ_{1}$	0.1027	0.30
$γ_{2}$	0.0020	0.00
$γ_{3}$	-0.1952	-0.44
$γ_{4}$	0.1585	0.47
$γ_{5}$	-0.1849	-0.46
$γ_{6}$	0.2239	0.51
$γ_{7}$	0.2560	0.56
$γ_{8}$	-1.2397	-2.29
$γ_{9}$	1.6218	3.15
$γ_{10}$	-1.0075	-3.20

Estimation Period:
Mar 16, 2011 to Mar 7, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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