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	1.5940	5.42***
αARCH	0.1860	8.30***
βGARCH	0.6375	16.86***

γ₁	-0.0320	-0.54
γ₂	0.1198	1.34
γ₃	-0.2428	-4.19***
γ₄	0.3087	5.58***
γ₅	-0.2232	-4.20***
γ₆	0.0079	0.17
γ₇	0.1849	3.74***
γ₈	-0.1730	-3.32***
γ₉	0.0855	1.38
γ₁₀	-0.0689	-1.30

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5940	5.42***
α ARCH Response to squared shocks	0.1860	8.30***
β GARCH Volatility persistence	0.6375	16.86***

γ₁	-0.0320	-0.54
γ₂	0.1198	1.34
γ₃	-0.2428	-4.19***
γ₄	0.3087	5.58***
γ₅	-0.2232	-4.20***
γ₆	0.0079	0.17
γ₇	0.1849	3.74***
γ₈	-0.1730	-3.32***
γ₉	0.0855	1.38
γ₁₀	-0.0689	-1.30

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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