CBOE EuroCurrency ETF Volatility Index Zero Slope Spline-GARCH Volatility Analysis
Inactive
Last recorded values (Monday, January 27th, 2025):
1 Day
210.38%
1 Week
203.43%
1 Month
180.44%
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
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 16 trading days.
τ
Zero Slope Spline-GARCH Model
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.1898 | 5.04*** |
| αARCH | 0.0916 | 4.65*** |
| βGARCH | 0.8672 | 27.69*** |
Spline Coefficients
K=3
| γ1 | 0.0720 | 3.05*** |
| γ2 | -0.1055 | -3.06*** |
| γ3 | 0.0421 | 2.37** |
0.959
Persistence16d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1898 | 5.04*** |
α ARCH Response to squared shocks | 0.0916 | 4.65*** |
β GARCH Volatility persistence | 0.8672 | 27.69*** |
Spline Coefficients
K=3
| γ1 | 0.0720 | 3.05*** |
| γ2 | -0.1055 | -3.06*** |
| γ3 | 0.0421 | 2.37** |
Persistence:
0.959
Half-life:
16 days
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