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	0.0817	3.33***
αARCH	0.2509	7.12***
βGARCH	0.9206	36.07***
γleverage	-0.0224	-0.66

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0817	3.33***
α ARCH Response to squared shocks	0.2509	7.12***
β GARCH Volatility persistence	0.9206	36.07***
γ leverage Additional response to negative shocks	-0.0224	-0.66

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Xior Student Housing NV EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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