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

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CBOE EFA ETF Volatility Index Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 25th, 2025:147.30% (-8.17%)

Analysis last updated: Tuesday, November 25, 2025 at 12:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8759	6.10
$α$	0.2000	6.81
$β$	0.6774	16.29
$γ_{1}$	0.1352	2.20
$γ_{2}$	-0.2152	-2.32
$γ_{3}$	0.1751	2.34
$γ_{4}$	-0.1490	-1.66
$γ_{5}$	-0.0413	-0.39
$γ_{6}$	0.2877	2.49

Estimation Period:
Jan 2, 2008 to Nov 21, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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