SMI Volatility Index

CBOE EFA ETF Volatility Index

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How volatility evolves over time

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{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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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.6161	6.31***
α ARCH Response to squared shocks	0.1288	7.79***
β GARCH Volatility persistence	0.7857	32.16***

V-Lab

SMI Volatility Index GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other SMI Volatility Index Analyses