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	3.9178	1.44
αARCH	0.1226	1.85*
βGARCH	0.7626	9.80***
γleverage	0.2006	0.51

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.9178	1.44
α ARCH Response to squared shocks	0.1226	1.85*
β GARCH Volatility persistence	0.7626	9.80***
γ leverage Additional response to negative shocks	0.2006	0.51

V-Lab

Maxeon Solar Technologies Ltd GJR-GARCH Volatility Analysis

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News Impact Curve

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