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V-Lab

CBOE EFA ETF Volatility Index MF2-GARCH Volatility Analysis

Volatility prediction for Friday, July 17th, 2026

1 Day

163.64%

increased by 48.21%

1 Week

160.25%

increased by 44.82%

1 Month

154.30%

increased by 38.87%

Analysis last updated: Friday, July 17, 2026 at 11:37 AM UTC

Date Range:

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to

6M ·

1Y ·

2Y ·

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10Y ·

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graph of CBOE EFA ETF Volatility Index MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 2008 to Jul 10, 2026

Model Insight

This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 202% 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

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

81
α

ARCH

Response to squared shocks

0.2500
22.15***
β

GARCH

Volatility persistence

0.6884
43.77***
γ

leverage

Additional response to negative shocks

-0.1673
-12.01***
λ₁

tau intercept

Baseline long-term coefficient

5.1547
0.99
λ₂

forecast adj.

Forecast performance sensitivity

0.2245
1.07
λ₃

tau persistence

Long-term factor persistence

0.7207
2.66***

Persistence:

0.855

Half-life:

4 days