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	0.5514	6.25***
αARCH	0.1608	2.75***
βGARCH	0.3010	1.46

γ₁	-0.2278	-3.80***
γ₂	0.2836	3.78***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5514	6.25***
α ARCH Response to squared shocks	0.1608	2.75***
β GARCH Volatility persistence	0.3010	1.46

γ₁	-0.2278	-3.80***
γ₂	0.2836	3.78***

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Gvs S P A Zero Slope Spline-GARCH Volatility Analysis

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