S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.9023	1.24
αARCH	0.0569	3.39***
βGARCH	0.9296	48.23***
γleverage	0.0224	0.25
δpower	2.3947	7.33***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9023	1.24
α ARCH Response to squared shocks	0.0569	3.39***
β GARCH Volatility persistence	0.9296	48.23***
γ leverage Additional response to negative shocks	0.0224	0.25
δ power Transformation power	2.3947	7.33***

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