CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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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	3.3801	2.72***
αARCH	0.2100	2.78***
βGARCH	0.3174	1.69*

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.3801	2.72***
α ARCH Response to squared shocks	0.2100	2.78***
β GARCH Volatility persistence	0.3174	1.69*

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Gvs S P A GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Gvs S P A Analyses