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

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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	0.0621	1.94*
αARCH	0.0750	3.06***
βGARCH	0.9069	29.80***
γleverage	0.3537	1.22
δpower	0.5000	2.44**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0621	1.94*
α ARCH Response to squared shocks	0.0750	3.06***
β GARCH Volatility persistence	0.9069	29.80***
γ leverage Additional response to negative shocks	0.3537	1.22
δ power Transformation power	0.5000	2.44**

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Gvs S P A APARCH Volatility Analysis

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News Impact Curve

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