CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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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	0.0182	2.68***
αARCH	0.1266	4.77***
βGARCH	0.8527	41.90***
γleverage	0.0413	0.97

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0182	2.68***
α ARCH Response to squared shocks	0.1266	4.77***
β GARCH Volatility persistence	0.8527	41.90***
γ leverage Additional response to negative shocks	0.0413	0.97

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Gvs S P A Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Gvs S P A Analyses