V-Lab: CBOE EFA ETF Volatility Index Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

CBOE EFA ETF Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:78.12% (-1.63%)

Analysis last updated: Wednesday, May 1, 2024 at 11:35 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8050	4.57
$α$	0.2011	6.07
$β$	0.6405	12.03
$γ_{1}$	-0.0065	-0.02
$γ_{2}$	0.2261	0.49
$γ_{3}$	-0.4499	-1.49
$γ_{4}$	0.3208	0.98
$γ_{5}$	-0.0561	-0.17
$γ_{6}$	0.1165	0.32
$γ_{7}$	-0.5391	-1.39
$γ_{8}$	0.8529	2.45
$γ_{9}$	-1.1302	-3.37
$γ_{10}$	1.0569	4.09

Estimation Period:
Jan 2, 2008 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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