CBOE EFA ETF Volatility Index AGARCH Volatility Analysis
Volatility prediction for Friday, October 9th, 2026
1 Day
158.68%
decreased by 17.11%
1 Week
159.39%
decreased by 16.40%
1 Month
161.28%
decreased by 14.51%
Analysis last updated: Friday, October 9, 2026 at 11:34 AM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2008 to Oct 2, 2026Model Insight
The news-impact curve is shifted (γ = -2.50) so that positive returns raise next-day volatility more than negative returns of the same size. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and rare among risky assets.
σ
AGARCH Model
Tap to view equation
Asymmetry: positive returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 6.0104 | 5.49*** |
| αARCH | 0.1781 | 7.98*** |
| βGARCH | 0.7554 | 33.01*** |
| γleverage | -2.4974 | -2.73*** |
0.934
Persistence10d
Half-lifeσ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 6.0104 | 5.49*** |
α ARCH Response to squared shocks | 0.1781 | 7.98*** |
β GARCH Volatility persistence | 0.7554 | 33.01*** |
γ leverage Additional response to negative shocks | -2.4974 | -2.73*** |
Persistence:
0.934
Half-life:
10 days
Other CBOE EFA ETF Volatility Index Analyses
Other AGARCH Analyses on Volatility Indices