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	1.9516	2.36**
αARCH	0.2209	2.89***
βGARCH	0.5430	4.43***
γleverage	0.1176	0.53

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9516	2.36**
α ARCH Response to squared shocks	0.2209	2.89***
β GARCH Volatility persistence	0.5430	4.43***
γ leverage Additional response to negative shocks	0.1176	0.53

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Inmocemento S A Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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