DAX Volatility Index

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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	76
αARCH	0.2225	4.08***
βGARCH	0.5173	6.71***
γleverage	0.0157	0.24
λ₁tau intercept	4.5158	1.31
λ₂forecast adj.	0.6321	3.00***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.2225	4.08***
β GARCH Volatility persistence	0.5173	6.71***
γ leverage Additional response to negative shocks	0.0157	0.24
λ₁ tau intercept Baseline long-term coefficient	4.5158	1.31
λ₂ forecast adj. Forecast performance sensitivity	0.6321	3.00***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Bitcoin Group SE MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bitcoin Group SE Analyses