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	0.2505	6.11***
βGARCH	0.5289	11.34***
γleverage	-0.0748	-1.65*
λ₁tau intercept	0.0016	1.35
λ₂forecast adj.	0.0146	4.26***
λ₃tau persistence	0.9850	262.39***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.2505	6.11***
β GARCH Volatility persistence	0.5289	11.34***
γ leverage Additional response to negative shocks	-0.0748	-1.65*
λ₁ tau intercept Baseline long-term coefficient	0.0016	1.35
λ₂ forecast adj. Forecast performance sensitivity	0.0146	4.26***
λ₃ tau persistence Long-term factor persistence	0.9850	262.39***

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UOB-Kay Hian Holdings Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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