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

V-Lab

CBOE EFA ETF Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, August 1st, 2025:119.46% (-2.43%)

Analysis last updated: Friday, August 1, 2025 at 11:36 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	81
$α$	0.2312	22.58
$β$	0.7050	53.08
$γ$	-0.1529	-11.26
$λ_{1}$	10.0000	0.60
$λ_{2}$	0.9160	0.63
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 2, 2008 to Jul 25, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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