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

V-Lab

CBOE EFA ETF Volatility Index Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 9th, 2025:202.15% (-5.51%)

Analysis last updated: Friday, May 9, 2025 at 11:35 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8900	5.65
$α$	0.2048	6.72
$β$	0.6604	14.50
$γ_{1}$	0.2275	1.46
$γ_{2}$	-0.2790	-1.14
$γ_{3}$	-0.0078	-0.05
$γ_{4}$	0.2400	1.62
$γ_{5}$	-0.3463	-2.34
$γ_{6}$	0.2750	1.74
$γ_{7}$	-0.4347	-2.05
$γ_{8}$	1.0808	3.73

Estimation Period:
Jan 2, 2008 to May 2, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other CBOE EFA ETF Volatility Index Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Zero Slope Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH