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	0.7083	7.81***
αARCH	0.1143	5.69***
βGARCH	0.7729	20.64***

γ₁	0.0048	0.28
γ₂	-0.0611	-2.01**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7083	7.81***
α ARCH Response to squared shocks	0.1143	5.69***
β GARCH Volatility persistence	0.7729	20.64***

γ₁	0.0048	0.28
γ₂	-0.0611	-2.01**

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Xior Student Housing NV Spline-GARCH Volatility Analysis

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News Impact Curve

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Parameter Estimates

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