V-Lab
CBOE EFA ETF Volatility Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 15th, 2026
1 Day
141.78%
decreased by 0.79%
1 Week
148.52%
increased by 5.95%
1 Month
160.31%
increased by 17.74%
Analysis last updated: Tuesday, September 15, 2026 at 03:41 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2008 to Sep 11, 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 | 0.8793 | 4.99*** |
| αARCH | 0.2052 | 7.16*** |
| βGARCH | 0.6645 | 16.19*** |
Spline Coefficients
K=10
| γ1 | 0.1793 | 0.77 |
| γ2 | -0.1508 | -0.44 |
| γ3 | -0.1280 | -0.65 |
| γ4 | 0.1568 | 0.85 |
| γ5 | 0.0951 | 0.41 |
| γ6 | -0.4174 | -1.69* |
| γ7 | 0.5019 | 2.16** |
| γ8 | -0.6477 | -2.44** |
| γ9 | 0.8200 | 3.03*** |
| γ10 | -0.5429 | -3.29*** |
0.870
Persistence5d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8793 | 4.99*** |
α ARCH Response to squared shocks | 0.2052 | 7.16*** |
β GARCH Volatility persistence | 0.6645 | 16.19*** |
Spline Coefficients
K=10
| γ1 | 0.1793 | 0.77 |
| γ2 | -0.1508 | -0.44 |
| γ3 | -0.1280 | -0.65 |
| γ4 | 0.1568 | 0.85 |
| γ5 | 0.0951 | 0.41 |
| γ6 | -0.4174 | -1.69* |
| γ7 | 0.5019 | 2.16** |
| γ8 | -0.6477 | -2.44** |
| γ9 | 0.8200 | 3.03*** |
| γ10 | -0.5429 | -3.29*** |
Persistence:
0.870
Half-life:
5 days
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