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	1.2093	5.10***
αARCH	0.1332	8.38***
βGARCH	0.8152	43.88***

γ₁	-0.0087	-0.22
γ₂	0.0875	1.52
γ₃	-0.2063	-5.47***
γ₄	0.2416	6.81***
γ₅	-0.2015	-5.29***
γ₆	0.1305	3.53***
γ₇	-0.0296	-0.85
γ₈	-0.0394	-1.15
γ₉	0.0367	1.39

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2093	5.10***
α ARCH Response to squared shocks	0.1332	8.38***
β GARCH Volatility persistence	0.8152	43.88***

γ₁	-0.0087	-0.22
γ₂	0.0875	1.52
γ₃	-0.2063	-5.47***
γ₄	0.2416	6.81***
γ₅	-0.2015	-5.29***
γ₆	0.1305	3.53***
γ₇	-0.0296	-0.85
γ₈	-0.0394	-1.15
γ₉	0.0367	1.39

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