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	0.8836	8.05***
αARCH	0.0762	7.75***
βGARCH	0.8748	47.45***

γ₁	-0.0066	-0.58
γ₂	-0.0193	-1.11
γ₃	0.0648	4.63***
γ₄	-0.0551	-3.03***
γ₅	0.0109	0.48
γ₆	0.0097	0.54

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8836	8.05***
α ARCH Response to squared shocks	0.0762	7.75***
β GARCH Volatility persistence	0.8748	47.45***

γ₁	-0.0066	-0.58
γ₂	-0.0193	-1.11
γ₃	0.0648	4.63***
γ₄	-0.0551	-3.03***
γ₅	0.0109	0.48
γ₆	0.0097	0.54

V-Lab

Leonardo SpA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Leonardo SpA Analyses