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	1.1461	4.91***
αARCH	0.1332	8.36***
βGARCH	0.8147	43.61***

γ₁	-0.0256	-0.64
γ₂	0.1150	2.00**
γ₃	-0.2264	-6.05***
γ₄	0.2609	7.40***
γ₅	-0.2196	-5.78***
γ₆	0.1430	3.87***
γ₇	-0.0324	-0.91
γ₈	-0.0490	-1.28
γ₉	0.0703	1.31

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1461	4.91***
α ARCH Response to squared shocks	0.1332	8.36***
β GARCH Volatility persistence	0.8147	43.61***

γ₁	-0.0256	-0.64
γ₂	0.1150	2.00**
γ₃	-0.2264	-6.05***
γ₄	0.2609	7.40***
γ₅	-0.2196	-5.78***
γ₆	0.1430	3.87***
γ₇	-0.0324	-0.91
γ₈	-0.0490	-1.28
γ₉	0.0703	1.31

V-Lab

Straits Times Index STI Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Straits Times Index STI Analyses