CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

FTSE 100 Implied Volatility Index 30 Days

How volatility evolves over time

How illiquidity evolves over time

{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	0.1070	0.77
αARCH	0.0799	3.71***
βGARCH	0.9201	38.55***
γleverage	-0.8381	-1.66*
δpower	0.5621	1.20

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1070	0.77
α ARCH Response to squared shocks	0.0799	3.71***
β GARCH Volatility persistence	0.9201	38.55***
γ leverage Additional response to negative shocks	-0.8381	-1.66*
δ power Transformation power	0.5621	1.20

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Abionyx Pharma SA Asy. Power MEM Volatility Analysis

Date Range:

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Parameter Estimates

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