CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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{name} Model Equation

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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	0.5532	6.28***
αARCH	0.1622	2.77***
βGARCH	0.3034	1.49

γ₁	-0.2271	-3.86***
γ₂	0.2835	3.85***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5532	6.28***
α ARCH Response to squared shocks	0.1622	2.77***
β GARCH Volatility persistence	0.3034	1.49

γ₁	-0.2271	-3.86***
γ₂	0.2835	3.85***

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Gvs S P A Zero Slope Spline-GARCH Volatility Analysis

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