CBOE EFA ETF 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	7.5419	0.75
αARCH	0.0565	3.29***
βGARCH	0.9791	35.10***
νDF	3.4150	1.91*

Parameter	Value	t-statistic
ω const Unconditional variance weight	7.5419	0.75
α ARCH Response to squared shocks	0.0565	3.29***
β GARCH Volatility persistence	0.9791	35.10***
ν DF Student-t tail thickness	3.4150	1.91*

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Gvs S P A GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Gvs S P A Analyses