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
mwindow	61
αARCH	0.3306	15.23***
βGARCH	0.6993	91.78***
γleverage	-0.3306	-13.85***
λ₁tau intercept	0.2020	4.32***
λ₂forecast adj.	0.4777	15.49***
λ₃tau persistence	0.3620	15.66***

Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.3306	15.23***
β GARCH Volatility persistence	0.6993	91.78***
γ leverage Additional response to negative shocks	-0.3306	-13.85***
λ₁ tau intercept Baseline long-term coefficient	0.2020	4.32***
λ₂ forecast adj. Forecast performance sensitivity	0.4777	15.49***
λ₃ tau persistence Long-term factor persistence	0.3620	15.66***

V-Lab

Vienna Insurance Group MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Vienna Insurance Group Analyses