V-Lab: CBOE EFA ETF Volatility Index Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

CBOE EFA ETF Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, March 21st, 2025:125.21% (-14.48%)

Analysis last updated: Friday, March 21, 2025 at 11:35 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9012	5.93
$α$	0.1980	6.74
$β$	0.6907	17.05
$γ_{1}$	0.1597	2.32
$γ_{2}$	-0.2545	-2.44
$γ_{3}$	0.1973	2.36
$γ_{4}$	-0.1483	-1.52
$γ_{5}$	-0.0405	-0.41
$γ_{6}$	0.1527	2.31

Estimation Period:
Jan 2, 2008 to Mar 14, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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