CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.1063	1.96*
αARCH	0.1593	3.83***
βGARCH	0.9516	37.59***
γleverage	-0.0465	-1.39

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1063	1.96*
α ARCH Response to squared shocks	0.1593	3.83***
β GARCH Volatility persistence	0.9516	37.59***
γ leverage Additional response to negative shocks	-0.0465	-1.39

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Gvs S P A EGARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Gvs S P A Analyses