CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How volatility evolves over time

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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
mwindow	41
αARCH	0.0000	0.00
βGARCH	0.8331	64.36***
γleverage	0.1823	12.40***
λ₁tau intercept	0.0083	2.30**
λ₂forecast adj.	0.0442	2.20**
λ₃tau persistence	0.9487	42.25***

Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8331	64.36***
γ leverage Additional response to negative shocks	0.1823	12.40***
λ₁ tau intercept Baseline long-term coefficient	0.0083	2.30**
λ₂ forecast adj. Forecast performance sensitivity	0.0442	2.20**
λ₃ tau persistence Long-term factor persistence	0.9487	42.25***

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AEX-Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other AEX-Index Analyses