CBOE EFA ETF Volatility Index

EURO STOXX 50 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
mwindow	26
αARCH	0.3417	2.98***
βGARCH	0.1626	1.84*
γleverage	0.0003	0.00
λ₁tau intercept	1.3444	0.81
λ₂forecast adj.	0.2317	0.80
λ₃tau persistence	0.6074	1.24

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.3417	2.98***
β GARCH Volatility persistence	0.1626	1.84*
γ leverage Additional response to negative shocks	0.0003	0.00
λ₁ tau intercept Baseline long-term coefficient	1.3444	0.81
λ₂ forecast adj. Forecast performance sensitivity	0.2317	0.80
λ₃ tau persistence Long-term factor persistence	0.6074	1.24

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Bellini Nautica S P A MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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