CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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{name} Model Equation

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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
mwindow	126
αARCH	0.1055	5.82***
βGARCH	0.7469	20.35***
γleverage	0.0632	1.57
λ₁tau intercept	0.0458	0.56
λ₂forecast adj.	0.0076	0.73
λ₃tau persistence	0.9769	26.14***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1055	5.82***
β GARCH Volatility persistence	0.7469	20.35***
γ leverage Additional response to negative shocks	0.0632	1.57
λ₁ tau intercept Baseline long-term coefficient	0.0458	0.56
λ₂ forecast adj. Forecast performance sensitivity	0.0076	0.73
λ₃ tau persistence Long-term factor persistence	0.9769	26.14***

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Koninklijke Vopak NV MF2-GARCH Volatility Analysis

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