CBOE EFA ETF Volatility Index

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{name} Model Equation

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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	3.1006	4.56***
αARCH	0.2971	2.10**
βGARCH	0.2742	2.16**
γleverage	0.0229	0.10

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.1006	4.56***
α ARCH Response to squared shocks	0.2971	2.10**
β GARCH Volatility persistence	0.2742	2.16**
γ leverage Additional response to negative shocks	0.0229	0.10

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Bellini Nautica S P A GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bellini Nautica S P A Analyses