Or you could just rent the cheapest cloud server you can find and install a VPN daemon on it. Scaleway is 2€/mo. The smallest AWS spot instances are comparable in price but more of a hassle.
However, I'm just as happy paying someone a nominal amount for convenience. It's the same reason I don't tend to spin up my own servers for basic web hosting - there are people who do that and who keep track of security updates affecting their specific systems, and for a small amount of money per month I don't have to worry about it.