CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How volatility evolves over time

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{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	0.0296	7.71***
αARCH	0.0913	7.82***
βGARCH	0.9063	98.95***
γleverage	0.5729	5.13***
δpower	1.1270	7.91***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0296	7.71***
α ARCH Response to squared shocks	0.0913	7.82***
β GARCH Volatility persistence	0.9063	98.95***
γ leverage Additional response to negative shocks	0.5729	5.13***
δ power Transformation power	1.1270	7.91***

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