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

V-Lab

CBOE Emerging Market Markets Volatility Index Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, September 16th, 2025:44.95% (+0.30%)

Analysis last updated: Tuesday, September 16, 2025 at 11:35 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0075	6.52
$α$	0.2030	5.73
$β$	0.5426	9.71
$γ_{1}$	0.1332	0.65
$γ_{2}$	-0.0594	-0.16
$γ_{3}$	-0.1699	-0.50
$γ_{4}$	0.1576	0.52
$γ_{5}$	-0.1624	-0.62
$γ_{6}$	0.5435	1.81
$γ_{7}$	-1.2437	-3.22
$γ_{8}$	1.6640	4.09
$γ_{9}$	-2.2255	-4.76

Estimation Period:
Mar 16, 2011 to Sep 12, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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