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	177.5974	0.55
αARCH	0.1749	3.44***
βGARCH	0.8942	4.64***
νDF	2.1054	16.45***

Parameter	Value	t-statistic
ω const Unconditional variance weight	177.5974	0.55
α ARCH Response to squared shocks	0.1749	3.44***
β GARCH Volatility persistence	0.8942	4.64***
ν DF Student-t tail thickness	2.1054	16.45***

V-Lab

Abionyx Pharma SA GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Abionyx Pharma SA Analyses