CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

FTSE 100 Implied Volatility Index 30 Days

How volatility evolves over time

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{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	1.4854	0.77
αARCH	0.0390	0.84
βGARCH	0.9237	13.65***
γleverage	-0.0059	-0.06

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4854	0.77
α ARCH Response to squared shocks	0.0390	0.84
β GARCH Volatility persistence	0.9237	13.65***
γ leverage Additional response to negative shocks	-0.0059	-0.06

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Abionyx Pharma SA GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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