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

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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	0.3183	4.62***
αARCH	0.1084	3.10***
βGARCH	0.7563	21.29***
γleverage	0.0619	0.93

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3183	4.62***
α ARCH Response to squared shocks	0.1084	3.10***
β GARCH Volatility persistence	0.7563	21.29***
γ leverage Additional response to negative shocks	0.0619	0.93

V-Lab

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