CBOE EFA ETF Volatility Index

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How volatility evolves over time

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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	1.0000	0.67
αARCH	0.1148	1.89*
βGARCH	0.8815	19.83***
γleverage	0.2874	1.32
δpower	1.8984	3.21***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	0.67
α ARCH Response to squared shocks	0.1148	1.89*
β GARCH Volatility persistence	0.8815	19.83***
γ leverage Additional response to negative shocks	0.2874	1.32
δ power Transformation power	1.8984	3.21***

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