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

V-Lab

| |

V-Lab

CBOE EuroCurrency ETF Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:80.11% (-5.33%)

Analysis last updated: Tuesday, May 7, 2024 at 09:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.2029	22.84
$β$	0.5474	28.97
$γ$	-0.0560	-3.69
$λ_{1}$	0.2813	1.29
$λ_{2}$	0.0183	1.33
$λ_{3}$	0.9708	48.22

Estimation Period:
Aug 1, 2008 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other CBOE EuroCurrency ETF Volatility Index Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T