CBOE EFA ETF Volatility Index

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{name} Model Equation

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Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	0.3660	1.69*
αARCH	0.1621	1.42
βGARCH	0.7564	17.66***
γleverage	0.1630	0.62

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3660	1.69*
α ARCH Response to squared shocks	0.1621	1.42
β GARCH Volatility persistence	0.7564	17.66***
γ leverage Additional response to negative shocks	0.1630	0.62

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Avanza Bank Holding AB GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Avanza Bank Holding AB Analyses