CBOE EuroCurrency ETF Volatility Index Spline-GARCH Volatility Analysis
Inactive
Last recorded values (Monday, January 27th, 2025):
1 Day
387.92%
1 Week
421.64%
1 Month
461.97%
Analysis last updated: Wednesday, September 2, 2026 at 04:23 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 3 trading days.
τ
Spline-GARCH Model
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.5685 | 6.02*** |
| αARCH | 0.1449 | 4.47*** |
| βGARCH | 0.6506 | 10.20*** |
Spline Coefficients
K=8
| γ1 | 0.4583 | 3.48*** |
| γ2 | -0.5677 | -2.77*** |
| γ3 | 0.2429 | 1.70* |
| γ4 | -0.1924 | -1.47 |
| γ5 | 0.0016 | 0.01 |
| γ6 | 0.0997 | 0.47 |
| γ7 | -0.1572 | -0.84 |
| γ8 | 1.0512 | 5.64*** |
0.796
Persistence3d
Half-lifeτ
Spline-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.5685 | 6.02*** |
α ARCH Response to squared shocks | 0.1449 | 4.47*** |
β GARCH Volatility persistence | 0.6506 | 10.20*** |
Spline Coefficients
K=8
| γ1 | 0.4583 | 3.48*** |
| γ2 | -0.5677 | -2.77*** |
| γ3 | 0.2429 | 1.70* |
| γ4 | -0.1924 | -1.47 |
| γ5 | 0.0016 | 0.01 |
| γ6 | 0.0997 | 0.47 |
| γ7 | -0.1572 | -0.84 |
| γ8 | 1.0512 | 5.64*** |
Persistence:
0.796
Half-life:
3 days
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