CBOE EFA ETF Volatility Index

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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	3.2784	2.93***
αARCH	0.1763	1.63
βGARCH	0.3252	1.81*
γleverage	0.0822	0.43

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.2784	2.93***
α ARCH Response to squared shocks	0.1763	1.63
β GARCH Volatility persistence	0.3252	1.81*
γ leverage Additional response to negative shocks	0.0822	0.43

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Gvs S P A GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Gvs S P A Analyses