CBOE EFA ETF 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	0.5682	5.95***
αARCH	0.1599	2.85***
βGARCH	0.3110	1.52

γ₁	-0.1993	-2.59***
γ₂	0.2075	1.54

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5682	5.95***
α ARCH Response to squared shocks	0.1599	2.85***
β GARCH Volatility persistence	0.3110	1.52

γ₁	-0.1993	-2.59***
γ₂	0.2075	1.54

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Gvs S P A Spline-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Gvs S P A Analyses