V-Lab: CBOE Energy ETF Volatility Index MF2-GARCH Volatility Analysis

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CBOE Energy ETF Volatility Index MF2-GARCH Volatility Analysis

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Analysis last updated: Saturday, September 3, 2022 at 05:01 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	46
$α$	0.2114	25.74
$β$	0.6665	44.04
$γ$	-0.1529	-13.08
$λ_{1}$	0.8151	0.42
$λ_{2}$	0.0077	0.63
$λ_{3}$	0.9656	13.01

Estimation Period:
Mar 16, 2011 to Feb 11, 2022

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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