V-Lab
CBOE EFA ETF Volatility Index EGARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
131.92%
decreased by 0.81%
1 Week
134.17%
increased by 1.44%
1 Month
141.42%
increased by 8.69%
Analysis last updated: Friday, September 11, 2026 at 11:30 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2008 to Sep 4, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 272% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
EGARCH Model
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Inverse leverage: Positive returns increase volatility 272% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.1958 | 3.54*** |
| αARCH | 0.2090 | 4.81*** |
| βGARCH | 0.9579 | 97.17*** |
| γleverage | 0.1204 | 2.59*** |
0.958
Persistence16d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1958 | 3.54*** |
α ARCH Response to squared shocks | 0.2090 | 4.81*** |
β GARCH Volatility persistence | 0.9579 | 97.17*** |
γ leverage Additional response to negative shocks | 0.1204 | 2.59*** |
Persistence:
0.958
Half-life:
16 days
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