V-Lab
CBOE EFA ETF Volatility Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, October 6th, 2026
1 Day
178.72%
decreased by 21.17%
1 Week
170.61%
decreased by 29.28%
1 Month
153.54%
decreased by 46.35%
Analysis last updated: Tuesday, October 6, 2026 at 03:12 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2008 to Oct 2, 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
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7164 | 5.84*** |
| αARCH | 0.1976 | 7.01*** |
| βGARCH | 0.6815 | 16.70*** |
Spline Coefficients
K=4
| γ1 | -0.0081 | -0.31 |
| γ2 | 0.0414 | 1.09 |
| γ3 | -0.0884 | -3.55*** |
| γ4 | 0.0797 | 4.35*** |
0.879
Persistence5d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7164 | 5.84*** |
α ARCH Response to squared shocks | 0.1976 | 7.01*** |
β GARCH Volatility persistence | 0.6815 | 16.70*** |
Spline Coefficients
K=4
| γ1 | -0.0081 | -0.31 |
| γ2 | 0.0414 | 1.09 |
| γ3 | -0.0884 | -3.55*** |
| γ4 | 0.0797 | 4.35*** |
Persistence:
0.879
Half-life:
5 days
Other CBOE EFA ETF Volatility Index Analyses
Other Zero Slope Spline-GARCH Analyses on Volatility Indices