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

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

Volatility Prediction for Tuesday, December 2nd, 2025:125.83% (-4.60%)

Analysis last updated: Tuesday, December 2, 2025 at 12:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8576	4.76
$α$	0.2014	6.69
$β$	0.6711	15.16
$γ_{1}$	0.1382	0.53
$γ_{2}$	-0.0656	-0.17
$γ_{3}$	-0.1909	-0.88
$γ_{4}$	0.1379	0.66
$γ_{5}$	0.1972	0.82
$γ_{6}$	-0.5091	-2.12
$γ_{7}$	0.5623	2.10
$γ_{8}$	-0.7350	-2.30
$γ_{9}$	0.8765	3.46
$γ_{10}$	-0.5302	-3.69

Estimation Period:
Jan 2, 2008 to Nov 28, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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