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	0.4424	3.58***
αARCH	0.0776	3.94***
βGARCH	0.8441	22.53***

γ₁	-0.4121	-1.23
γ₂	0.3373	0.71
γ₃	0.4215	1.84*
γ₄	-0.6442	-3.97***
γ₅	0.5129	3.41***
γ₆	-0.3418	-2.87***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4424	3.58***
α ARCH Response to squared shocks	0.0776	3.94***
β GARCH Volatility persistence	0.8441	22.53***

γ₁	-0.4121	-1.23
γ₂	0.3373	0.71
γ₃	0.4215	1.84*
γ₄	-0.6442	-3.97***
γ₅	0.5129	3.41***
γ₆	-0.3418	-2.87***

V-Lab

Sivers Semiconductors Ab Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sivers Semiconductors Ab Analyses