V-Lab
CBOE EFA ETF Volatility Index MF2-GARCH Volatility Analysis
Volatility prediction for Friday, July 24th, 2026
1 Day
157.37%
1 Week
155.55%
1 Month
150.49%
Analysis last updated: Friday, July 24, 2026 at 11:37 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2008 to Jul 17, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 199% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 81 | |
α ARCH Response to squared shocks | 0.2499 | 22.15*** |
β GARCH Volatility persistence | 0.6869 | 43.63*** |
γ leverage Additional response to negative shocks | -0.1662 | -11.92*** |
λ₁ tau intercept Baseline long-term coefficient | 5.2063 | 0.97 |
λ₂ forecast adj. Forecast performance sensitivity | 0.2272 | 1.06 |
λ₃ tau persistence Long-term factor persistence | 0.7178 | 2.58*** |
Persistence:
0.854
Half-life:
4 days
Other CBOE EFA ETF Volatility Index Analyses
Other MF2-GARCH Analyses on Volatility Indices