CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.0265	8.17***
αARCH	0.0886	8.80***
βGARCH	0.9046	102.48***
γleverage	0.5923	4.99***
δpower	1.1738	10.86***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0265	8.17***
α ARCH Response to squared shocks	0.0886	8.80***
β GARCH Volatility persistence	0.9046	102.48***
γ leverage Additional response to negative shocks	0.5923	4.99***
δ power Transformation power	1.1738	10.86***

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AEX-Index APARCH Volatility Analysis

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