CBOE EFA ETF Volatility Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
224.19%
increased by 51.86%
1 Week
213.12%
increased by 40.79%
1 Month
191.01%
increased by 18.68%
Analysis last updated: Friday, October 30, 2026 at 11:30 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2008 to Oct 23, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 5 trading days.
τ
Zero Slope Spline-GARCH Model
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.8934 | 5.45*** |
| αARCH | 0.2016 | 6.94*** |
| βGARCH | 0.6667 | 15.57*** |
Spline Coefficients
K=9
| γ1 | 0.2166 | 1.24 |
| γ2 | -0.2504 | -0.93 |
| γ3 | -0.0409 | -0.23 |
| γ4 | 0.2448 | 1.63 |
| γ5 | -0.2881 | -1.76* |
| γ6 | 0.1862 | 0.89 |
| γ7 | -0.3206 | -1.27 |
| γ8 | 0.5253 | 2.53** |
| γ9 | -0.3597 | -3.29*** |
0.868
Persistence5d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8934 | 5.45*** |
α ARCH Response to squared shocks | 0.2016 | 6.94*** |
β GARCH Volatility persistence | 0.6667 | 15.57*** |
Spline Coefficients
K=9
| γ1 | 0.2166 | 1.24 |
| γ2 | -0.2504 | -0.93 |
| γ3 | -0.0409 | -0.23 |
| γ4 | 0.2448 | 1.63 |
| γ5 | -0.2881 | -1.76* |
| γ6 | 0.1862 | 0.89 |
| γ7 | -0.3206 | -1.27 |
| γ8 | 0.5253 | 2.53** |
| γ9 | -0.3597 | -3.29*** |
Persistence:
0.868
Half-life:
5 days
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