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	4.1173	1.96**
αARCH	0.4352	3.63***
βGARCH	0.0590	0.82

γ₁	43.0486	5.50***
γ₂	-68.0667	-6.02***
γ₃	35.7138	3.81***
γ₄	-14.7763	-1.53
γ₅	11.5456	1.15
γ₆	-16.0298	-1.65*
γ₇	13.0569	1.65*
γ₈	-5.0031	-1.22

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.1173	1.96**
α ARCH Response to squared shocks	0.4352	3.63***
β GARCH Volatility persistence	0.0590	0.82

γ₁	43.0486	5.50***
γ₂	-68.0667	-6.02***
γ₃	35.7138	3.81***
γ₄	-14.7763	-1.53
γ₅	11.5456	1.15
γ₆	-16.0298	-1.65*
γ₇	13.0569	1.65*
γ₈	-5.0031	-1.22

V-Lab

Abionyx Pharma SA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Abionyx Pharma SA Analyses