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

V-Lab

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V-Lab

CBOE EuroCurrency ETF Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, December 20th, 2024:187.07% (-13.42%)

Analysis last updated: Friday, December 20, 2024 at 10:49 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1934	5.19
$α$	0.0924	4.47
$β$	0.8617	25.17
$γ_{1}$	0.0725	3.13
$γ_{2}$	-0.1059	-3.12
$γ_{3}$	0.0418	2.40

Estimation Period:
Aug 1, 2008 to Dec 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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