CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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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	0.1732	5.40***
αARCH	0.1522	5.72***
βGARCH	0.8079	40.73***
γleverage	0.0124	0.29

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1732	5.40***
α ARCH Response to squared shocks	0.1522	5.72***
β GARCH Volatility persistence	0.8079	40.73***
γ leverage Additional response to negative shocks	0.0124	0.29

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D.L.S.I. Asy. MEM Volatility Analysis

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News Impact Curve

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