CBOE EuroCurrency ETF Volatility Index GAS-GARCH Student T Volatility Analysis
Inactive
Last recorded values (Monday, January 27th, 2025):
1 Day
164.50%
1 Week
162.47%
1 Month
155.03%
Analysis last updated: Wednesday, September 2, 2026 at 04:24 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 1, 2008 to Jan 24, 2025Model Insight
Volatility shocks decay with a half-life of 37 trading days, meaning a shock loses half its impact after approximately 37 days. Returns follow a Student-t distribution with v = 3.74 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 37-day half-lifev = 3.74 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 34.3421 | 1.46 |
| αARCH | 0.0607 | 6.72*** |
| βGARCH | 0.9816 | 102.60*** |
| νDF | 3.7379 | 3.09*** |
0.982
Persistence37d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 34.3421 | 1.46 |
α ARCH Response to squared shocks | 0.0607 | 6.72*** |
β GARCH Volatility persistence | 0.9816 | 102.60*** |
ν DF Student-t tail thickness | 3.7379 | 3.09*** |
Persistence:
0.982
Half-life:
37 days
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