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
mwindow	81
αARCH	0.5470	3.84***
βGARCH	0.3435	8.92***
γleverage	-0.1175	-0.46
λ₁tau intercept	0.6310	0.59
λ₂forecast adj.	0.0069	0.90
λ₃tau persistence	0.9734	25.79***

Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.5470	3.84***
β GARCH Volatility persistence	0.3435	8.92***
γ leverage Additional response to negative shocks	-0.1175	-0.46
λ₁ tau intercept Baseline long-term coefficient	0.6310	0.59
λ₂ forecast adj. Forecast performance sensitivity	0.0069	0.90
λ₃ tau persistence Long-term factor persistence	0.9734	25.79***

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Abionyx Pharma SA MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Abionyx Pharma SA Analyses