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

V-Lab

CBOE EuroCurrency ETF Volatility Index Zero Slope Spline-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
$ω$	1.1898	5.04
$α$	0.0916	4.65
$β$	0.8672	27.69
$γ_{1}$	0.0720	3.05
$γ_{2}$	-0.1055	-3.06
$γ_{3}$	0.0421	2.37

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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