CBOE Emerging Market Markets 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
ωconst	9.1464	3.62***
αARCH	0.3720	5.49***
βGARCH	0.3873	7.18***
γleverage	-0.9667	-1.32

Parameter	Value	t-statistic
ω const Unconditional variance weight	9.1464	3.62***
α ARCH Response to squared shocks	0.3720	5.49***
β GARCH Volatility persistence	0.3873	7.18***
γ leverage Additional response to negative shocks	-0.9667	-1.32

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