CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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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
mwindow	71
αARCH	0.1227	2.53**
βGARCH	0.6821	10.22***
γleverage	0.0719	1.22
λ₁tau intercept	0.0629	0.77
λ₂forecast adj.	0.0123	1.09
λ₃tau persistence	0.9736	34.49***

Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.1227	2.53**
β GARCH Volatility persistence	0.6821	10.22***
γ leverage Additional response to negative shocks	0.0719	1.22
λ₁ tau intercept Baseline long-term coefficient	0.0629	0.77
λ₂ forecast adj. Forecast performance sensitivity	0.0123	1.09
λ₃ tau persistence Long-term factor persistence	0.9736	34.49***

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D.L.S.I. MF2-GARCH Volatility Analysis

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Volatility Forecast

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