V-Lab: CBOE EuroCurrency ETF Volatility Index MF2-GARCH Volatility Analysis

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CBOE EuroCurrency ETF Volatility Index MF2-GARCH 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
$m$	46
$α$	0.1760	19.81
$β$	0.4524	21.39
$γ$	-0.0063	-0.43
$λ_{1}$	7.2280	1.66
$λ_{2}$	0.7871	8.71
$λ_{3}$	0.0000	0.00

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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