CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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How returns affect tomorrow's volatility

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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	126
αARCH	0.0313	3.03***
βGARCH	0.8817	105.84***
γleverage	0.1249	9.29***
λ₁tau intercept	0.8707	0.06
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.5131	0.07

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0313	3.03***
β GARCH Volatility persistence	0.8817	105.84***
γ leverage Additional response to negative shocks	0.1249	9.29***
λ₁ tau intercept Baseline long-term coefficient	0.8707	0.06
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.5131	0.07

V-Lab

IBEX 35 Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other IBEX 35 Index Analyses