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V-Lab
V-Lab

CBOE Emerging Market Markets Volatility Index Spline-GARCH Volatility Analysis

Volatility prediction for Monday, September 21st, 2026

1 Day

90.54%

decreased by 2.90%

1 Week

98.90%

increased by 5.46%

1 Month

107.23%

increased by 13.79%

Analysis last updated: Monday, September 21, 2026 at 11:40 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of CBOE Emerging Market Markets Volatility Index SGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Mar 16, 2011 to Sep 18, 2026

Model 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

Spline-GARCH Model

Tap to view equation

Time-varying baseline: volatility reverts to a slowly-shifting spline trend
ParamValuet-stat
ωconst1.0040
6.58***
αARCH0.1943
5.60***
βGARCH0.5569
9.97***
γi Spline Coefficients
K=10
γ10.1099
0.47
γ2-0.0006
0.00
γ3-0.2569
-0.70
γ40.2992
1.05
γ5-0.4043
-1.60
γ60.8426
2.57**
γ7-1.3437
-3.21***
γ81.2590
2.88***
γ9-0.8403
-1.87*
γ100.5769
1.13

0.751

Persistence

2d

Half-life
τ

Spline-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

1.0040
6.58***
α

ARCH

Response to squared shocks

0.1943
5.60***
β

GARCH

Volatility persistence

0.5569
9.97***
γi Spline Coefficients
K=10
γ10.1099
0.47
γ2-0.0006
0.00
γ3-0.2569
-0.70
γ40.2992
1.05
γ5-0.4043
-1.60
γ60.8426
2.57**
γ7-1.3437
-3.21***
γ81.2590
2.88***
γ9-0.8403
-1.87*
γ100.5769
1.13

Persistence:

0.751

Half-life:

2 days