V-Lab: CBOE EuroCurrency ETF Volatility Index Asy. Power MEM Volatility Analysis

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CBOE EuroCurrency ETF Volatility Index Asy. Power MEM Volatility Analysis

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Analysis last updated: Monday, March 3, 2025 at 11:56 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.2740	10.09
$α$	0.1092	16.81
$β$	0.8762	117.35
$γ$	-0.0427	-1.18
$δ$	1.0594	18.57

Estimation Period:
Aug 1, 2008 to Jan 24, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other CBOE EuroCurrency ETF Volatility Index Analyses
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Asy. MEM
GAS-GARCH Student T
MF2-GARCH

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