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	1.5353	0.76
αARCH	0.0392	0.83
βGARCH	0.9227	13.26***
γleverage	-0.0052	-0.05

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5353	0.76
α ARCH Response to squared shocks	0.0392	0.83
β GARCH Volatility persistence	0.9227	13.26***
γ leverage Additional response to negative shocks	-0.0052	-0.05

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Abionyx Pharma SA GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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