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	1.0000	0.23
αARCH	0.0268	0.43
βGARCH	0.9452	21.60***
γleverage	-0.0094	-0.01
δpower	2.0075	1.30

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	0.23
α ARCH Response to squared shocks	0.0268	0.43
β GARCH Volatility persistence	0.9452	21.60***
γ leverage Additional response to negative shocks	-0.0094	-0.01
δ power Transformation power	2.0075	1.30

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