CBOE EFA ETF Volatility Index

EURO STOXX 50 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	1.0630	2.06**
αARCH	0.1865	2.31**
βGARCH	0.3232	1.26

γ₁	-7.3016	-0.47
γ₂	38.2693	1.80*
γ₃	-64.5373	-6.39***
γ₄	46.1603	8.22***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0630	2.06**
α ARCH Response to squared shocks	0.1865	2.31**
β GARCH Volatility persistence	0.3232	1.26

γ₁	-7.3016	-0.47
γ₂	38.2693	1.80*
γ₃	-64.5373	-6.39***
γ₄	46.1603	8.22***

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