CBOE EFA ETF Volatility Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, October 9th, 2026
1 Day
142.62%
decreased by 19.48%
1 Week
141.46%
decreased by 20.64%
1 Month
139.17%
decreased by 22.93%
Analysis last updated: Friday, October 9, 2026 at 11:34 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 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
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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
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