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

V-Lab

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

Volatility Prediction for Friday, June 20th, 2025:122.94% (-5.16%)

Analysis last updated: Thursday, June 19, 2025 at 11:37 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8899	5.98
$α$	0.1983	6.84
$β$	0.6876	17.33
$γ_{1}$	0.1517	2.30
$γ_{2}$	-0.2432	-2.44
$γ_{3}$	0.1960	2.45
$γ_{4}$	-0.1641	-1.74
$γ_{5}$	-0.0052	-0.05
$γ_{6}$	0.1204	1.71

Estimation Period:
Jan 2, 2008 to Jun 18, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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