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	0.6025	2.33**
αARCH	0.1712	3.56***
βGARCH	0.7012	14.42***
γleverage	0.1016	1.18
δpower	2.0801	4.29***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6025	2.33**
α ARCH Response to squared shocks	0.1712	3.56***
β GARCH Volatility persistence	0.7012	14.42***
γ leverage Additional response to negative shocks	0.1016	1.18
δ power Transformation power	2.0801	4.29***

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