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	0.8633	5.60***
αARCH	0.1122	5.51***
βGARCH	0.7713	19.46***

γ₁	0.2179	1.55
γ₂	-0.3322	-1.71*
γ₃	0.1919	1.83*
γ₄	-0.2403	-2.53**
γ₅	0.2633	3.82***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8633	5.60***
α ARCH Response to squared shocks	0.1122	5.51***
β GARCH Volatility persistence	0.7713	19.46***

γ₁	0.2179	1.55
γ₂	-0.3322	-1.71*
γ₃	0.1919	1.83*
γ₄	-0.2403	-2.53**
γ₅	0.2633	3.82***

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Date Range:

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