CBOE EFA ETF Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

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	1.2527	1.80*
αARCH	0.0948	10.23***
βGARCH	0.9864	124.89***
νDF	6.8704	1.96*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2527	1.80*
α ARCH Response to squared shocks	0.0948	10.23***
β GARCH Volatility persistence	0.9864	124.89***
ν DF Student-t tail thickness	6.8704	1.96*

V-Lab

Straits Times Index STI GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Straits Times Index STI Analyses