CBOE EFA ETF Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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Param	Value	t-stat
ωconst	1.5540	1.88*
αARCH	0.5447	2.20**
βGARCH	0.0957	1.20

γ₁	9.6848	1.82*
γ₂	-8.1944	-1.06
γ₃	-0.3321	-0.06
γ₄	0.6547	0.13
γ₅	-4.8903	-0.99
γ₆	6.7666	1.12
γ₇	-9.6955	-1.39
γ₈	12.8561	2.06**
γ₉	-12.3813	-1.82*
γ₁₀	34.9955	3.61***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5540	1.88*
α ARCH Response to squared shocks	0.5447	2.20**
β GARCH Volatility persistence	0.0957	1.20

γ₁	9.6848	1.82*
γ₂	-8.1944	-1.06
γ₃	-0.3321	-0.06
γ₄	0.6547	0.13
γ₅	-4.8903	-0.99
γ₆	6.7666	1.12
γ₇	-9.6955	-1.39
γ₈	12.8561	2.06**
γ₉	-12.3813	-1.82*
γ₁₀	34.9955	3.61***

V-Lab

Society Pass Inc Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Society Pass Inc Analyses