CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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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Param	Value	t-stat
ωconst	0.3239	4.70***
αARCH	0.1404	6.90***
βGARCH	0.7505	20.82***
γleverage	0.2096	0.89

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3239	4.70***
α ARCH Response to squared shocks	0.1404	6.90***
β GARCH Volatility persistence	0.7505	20.82***
γ leverage Additional response to negative shocks	0.2096	0.89

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