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	1.3765	4.96***
αARCH	0.0000	0.00
βGARCH	0.5166	0.41

γ₁	2.2330	3.68***
γ₂	-3.9159	-4.27***
γ₃	2.9896	3.25***
γ₄	-1.7879	-1.57
γ₅	0.6003	0.59
γ₆	-0.2244	-0.35

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3765	4.96***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.5166	0.41

γ₁	2.2330	3.68***
γ₂	-3.9159	-4.27***
γ₃	2.9896	3.25***
γ₄	-1.7879	-1.57
γ₅	0.6003	0.59
γ₆	-0.2244	-0.35

V-Lab

Christian Dior SE Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Christian Dior SE Analyses