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CBOE EFA ETF Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	0.4556	1.90*
αARCH	0.0637	1.22
βGARCH	0.8904	36.60***
γleverage	-1.0000	-0.77
δpower	1.1432	5.21***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4556	1.90*
α ARCH Response to squared shocks	0.0637	1.22
β GARCH Volatility persistence	0.8904	36.60***
γ leverage Additional response to negative shocks	-1.0000	-0.77
δ power Transformation power	1.1432	5.21***

V-Lab

iTraxx/CBOE Europe Main 1-Month Volatility Index (BP Volatility) APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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