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
ωconst	1.1572	4.90***
αARCH	0.1315	6.87***
βGARCH	0.7134	15.19***

γ₁	-0.0867	-0.97
γ₂	0.1277	1.01
γ₃	0.0368	0.43
γ₄	-0.2271	-2.59***
γ₅	0.2842	2.63***
γ₆	-0.2039	-1.75*
γ₇	0.0320	0.30
γ₈	0.1447	1.61
γ₉	-0.2086	-2.68***
γ₁₀	0.1443	2.48**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1572	4.90***
α ARCH Response to squared shocks	0.1315	6.87***
β GARCH Volatility persistence	0.7134	15.19***

γ₁	-0.0867	-0.97
γ₂	0.1277	1.01
γ₃	0.0368	0.43
γ₄	-0.2271	-2.59***
γ₅	0.2842	2.63***
γ₆	-0.2039	-1.75*
γ₇	0.0320	0.30
γ₈	0.1447	1.61
γ₉	-0.2086	-2.68***
γ₁₀	0.1443	2.48**

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Koninklijke Vopak NV Zero Slope Spline-GARCH Volatility Analysis

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