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

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V-Lab

CBOE EFA ETF Volatility Index Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, December 4th, 2025:175.08% (+47.66%)

Analysis last updated: Thursday, December 4, 2025 at 12:37 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8756	6.10
$α$	0.1998	6.81
$β$	0.6778	16.34
$γ_{1}$	0.1345	2.20
$γ_{2}$	-0.2140	-2.31
$γ_{3}$	0.1747	2.34
$γ_{4}$	-0.1502	-1.68
$γ_{5}$	-0.0383	-0.36
$γ_{6}$	0.2832	2.42

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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