CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

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	1.5110	5.04***
αARCH	0.2813	3.36***
βGARCH	0.3011	3.75***
γleverage	0.3830	0.87

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5110	5.04***
α ARCH Response to squared shocks	0.2813	3.36***
β GARCH Volatility persistence	0.3011	3.75***
γ leverage Additional response to negative shocks	0.3830	0.87

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Inmocemento S A AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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