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
ωlong-run	117.6913	0.59
αscore	0.1717	3.26***
βpersistence	0.8884	4.59***
νDF	2.1688	9.99***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	117.6913	0.59
α score Weight on the scaled score	0.1717	3.26***
β persistence Volatility persistence	0.8884	4.59***
ν DF Student-t tail thickness	2.1688	9.99***

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Abionyx Pharma SA GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Abionyx Pharma SA Analyses