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	1.1149	2.14**
αARCH	0.1963	2.33**
βGARCH	0.3234	1.28

γ₁	-4.0312	-0.27
γ₂	31.8692	1.56
γ₃	-60.2321	-6.14***
γ₄	45.5379	8.06***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1149	2.14**
α ARCH Response to squared shocks	0.1963	2.33**
β GARCH Volatility persistence	0.3234	1.28

γ₁	-4.0312	-0.27
γ₂	31.8692	1.56
γ₃	-60.2321	-6.14***
γ₄	45.5379	8.06***

V-Lab

Avanza Bank Holding AB Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Avanza Bank Holding AB Analyses