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	1.5527	5.33***
αARCH	0.1854	8.21***
βGARCH	0.6329	16.34***

γ₁	-0.0349	-0.60
γ₂	0.1215	1.38
γ₃	-0.2391	-4.19***
γ₄	0.3037	5.56***
γ₅	-0.2189	-4.16***
γ₆	0.0052	0.11
γ₇	0.1885	3.86***
γ₈	-0.1793	-3.50***
γ₉	0.0934	1.54
γ₁₀	-0.0752	-1.45

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5527	5.33***
α ARCH Response to squared shocks	0.1854	8.21***
β GARCH Volatility persistence	0.6329	16.34***

γ₁	-0.0349	-0.60
γ₂	0.1215	1.38
γ₃	-0.2391	-4.19***
γ₄	0.3037	5.56***
γ₅	-0.2189	-4.16***
γ₆	0.0052	0.11
γ₇	0.1885	3.86***
γ₈	-0.1793	-3.50***
γ₉	0.0934	1.54
γ₁₀	-0.0752	-1.45

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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