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	0.4379	1.88*
αARCH	0.5180	2.59***
βGARCH	0.6411	5.98***
γleverage	-0.3183	-1.12

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4379	1.88*
α ARCH Response to squared shocks	0.5180	2.59***
β GARCH Volatility persistence	0.6411	5.98***
γ leverage Additional response to negative shocks	-0.3183	-1.12

V-Lab

Vienna Insurance Group GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Vienna Insurance Group Analyses