CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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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	2.8509	2.10**
αARCH	0.0993	4.93***
βGARCH	0.9371	30.57***
νDF	3.9260	2.15**

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.8509	2.10**
α ARCH Response to squared shocks	0.0993	4.93***
β GARCH Volatility persistence	0.9371	30.57***
ν DF Student-t tail thickness	3.9260	2.15**

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