DAX Volatility Index

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
ωlong-run	14.4196	1.30
αscore	0.0919	3.26***
βpersistence	0.9395	18.36***
νDF	3.7445	1.30

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	14.4196	1.30
α score Weight on the scaled score	0.0919	3.26***
β persistence Volatility persistence	0.9395	18.36***
ν DF Student-t tail thickness	3.7445	1.30

V-Lab

Avon Technologies PLC GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Avon Technologies PLC Analyses