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	0.5752	4.12***
αARCH	0.1813	5.18***
βGARCH	0.6994	14.53***
γleverage	0.0479	0.14

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5752	4.12***
α ARCH Response to squared shocks	0.1813	5.18***
β GARCH Volatility persistence	0.6994	14.53***
γ leverage Additional response to negative shocks	0.0479	0.14

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D.L.S.I. AGARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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