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
ωconst	1.5550	5.35***
αARCH	0.1871	8.25***
βGARCH	0.6300	16.20***

γ₁	-0.0334	-0.57
γ₂	0.1185	1.35
γ₃	-0.2370	-4.17***
γ₄	0.3044	5.59***
γ₅	-0.2243	-4.27***
γ₆	0.0137	0.30
γ₇	0.1825	3.76***
γ₈	-0.1794	-3.53***
γ₉	0.0981	1.63
γ₁₀	-0.0803	-1.54

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5550	5.35***
α ARCH Response to squared shocks	0.1871	8.25***
β GARCH Volatility persistence	0.6300	16.20***

γ₁	-0.0334	-0.57
γ₂	0.1185	1.35
γ₃	-0.2370	-4.17***
γ₄	0.3044	5.59***
γ₅	-0.2243	-4.27***
γ₆	0.0137	0.30
γ₇	0.1825	3.76***
γ₈	-0.1794	-3.53***
γ₉	0.0981	1.63
γ₁₀	-0.0803	-1.54

V-Lab

UOB-Kay Hian Holdings Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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