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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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	1.3133	4.86***
αARCH	0.1892	2.54**
βGARCH	0.3837	2.10**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3133	4.86***
α ARCH Response to squared shocks	0.1892	2.54**
β GARCH Volatility persistence	0.3837	2.10**

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Inmocemento S A Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Inmocemento S A Analyses