CBOE EFA ETF Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

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
mwindow	21
αARCH	0.2509	6.12***
βGARCH	0.5306	11.41***
γleverage	-0.0762	-1.67*
λ₁tau intercept	0.0016	1.36
λ₂forecast adj.	0.0146	4.24***
λ₃tau persistence	0.9850	261.69***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.2509	6.12***
β GARCH Volatility persistence	0.5306	11.41***
γ leverage Additional response to negative shocks	-0.0762	-1.67*
λ₁ tau intercept Baseline long-term coefficient	0.0016	1.36
λ₂ forecast adj. Forecast performance sensitivity	0.0146	4.24***
λ₃ tau persistence Long-term factor persistence	0.9850	261.69***

V-Lab

UOB-Kay Hian Holdings Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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