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
ωlong-run	1.2535	1.78*
αscore	0.0952	10.29***
βpersistence	0.9864	123.37***
νDF	6.8043	2.00**

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	1.2535	1.78*
α score Weight on the scaled score	0.0952	10.29***
β persistence Volatility persistence	0.9864	123.37***
ν DF Student-t tail thickness	6.8043	2.00**

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