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 Friday, July 11th, 2025:93.30% (-5.38%)

Analysis last updated: Friday, July 11, 2025 at 11:37 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9955	6.56
$α$	0.1979	5.53
$β$	0.5473	9.62
$γ_{1}$	0.1243	0.58
$γ_{2}$	-0.0367	-0.09
$γ_{3}$	-0.2025	-0.58
$γ_{4}$	0.2076	0.70
$γ_{5}$	-0.2480	-0.96
$γ_{6}$	0.6580	2.12
$γ_{7}$	-1.3000	-3.24
$γ_{8}$	1.5150	3.56
$γ_{9}$	-1.4134	-2.60

Estimation Period:
Mar 16, 2011 to Jul 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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