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	1.2072	5.10***
αARCH	0.1329	8.35***
βGARCH	0.8152	43.76***

γ₁	-0.0078	-0.20
γ₂	0.0857	1.50
γ₃	-0.2049	-5.47***
γ₄	0.2422	6.92***
γ₅	-0.2049	-5.48***
γ₆	0.1357	3.73***
γ₇	-0.0346	-1.00
γ₈	-0.0366	-1.08
γ₉	0.0361	1.38

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2072	5.10***
α ARCH Response to squared shocks	0.1329	8.35***
β GARCH Volatility persistence	0.8152	43.76***

γ₁	-0.0078	-0.20
γ₂	0.0857	1.50
γ₃	-0.2049	-5.47***
γ₄	0.2422	6.92***
γ₅	-0.2049	-5.48***
γ₆	0.1357	3.73***
γ₇	-0.0346	-1.00
γ₈	-0.0366	-1.08
γ₉	0.0361	1.38

V-Lab

Straits Times Index STI Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Straits Times Index STI Analyses