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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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	0.4580	4.89***
αARCH	0.2212	6.52***
βGARCH	0.7895	35.98***
γleverage	-0.0522	-1.12

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4580	4.89***
α ARCH Response to squared shocks	0.2212	6.52***
β GARCH Volatility persistence	0.7895	35.98***
γ leverage Additional response to negative shocks	-0.0522	-1.12

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Sivers Semiconductors Ab Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sivers Semiconductors Ab Analyses