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 Friday, October 24th, 2025:144.88% (-4.55%)

Analysis last updated: Friday, October 24, 2025 at 11:37 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8757	6.11
$α$	0.2003	6.77
$β$	0.6765	16.10
$γ_{1}$	0.1379	2.22
$γ_{2}$	-0.2192	-2.34
$γ_{3}$	0.1761	2.33
$γ_{4}$	-0.1436	-1.58
$γ_{5}$	-0.0553	-0.53
$γ_{6}$	0.3130	2.78

Estimation Period:
Jan 2, 2008 to Oct 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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