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

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CBOE EuroCurrency ETF Volatility Index 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
$ω$	1.5685	6.02
$α$	0.1449	4.47
$β$	0.6506	10.20
$γ_{1}$	0.4583	3.48
$γ_{2}$	-0.5677	-2.77
$γ_{3}$	0.2429	1.70
$γ_{4}$	-0.1924	-1.47
$γ_{5}$	0.0016	0.01
$γ_{6}$	0.0997	0.47
$γ_{7}$	-0.1572	-0.84
$γ_{8}$	1.0512	5.64

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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