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EURO STOXX 50 Volatility Index

FTSE 100 Implied Volatility Index 30 Days

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{name} Model Equation

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How returns affect tomorrow's illiquidity

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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
ωconst	194.6849	0.55
αARCH	0.1773	3.47***
βGARCH	0.8936	4.58***
νDF	2.0955	18.23***

Parameter	Value	t-statistic
ω const Unconditional variance weight	194.6849	0.55
α ARCH Response to squared shocks	0.1773	3.47***
β GARCH Volatility persistence	0.8936	4.58***
ν DF Student-t tail thickness	2.0955	18.23***

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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