V-Lab: CBOE EFA ETF Volatility Index MF2-GARCH Volatility Analysis

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V-Lab

CBOE EFA ETF Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, December 20th, 2024:310.75% (-6.13%)

Analysis last updated: Friday, December 20, 2024 at 12:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	81
$α$	0.2226	22.16
$β$	0.7153	53.76
$γ$	-0.1478	-10.70
$λ_{1}$	10.0000	0.55
$λ_{2}$	0.9216	0.59
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 2, 2008 to Dec 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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