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CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

FTSE 100 Implied Volatility Index 30 Days

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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
ωconst	16.5560	0.65
αARCH	0.0702	3.15***
βGARCH	0.9597	15.22***
νDF	2.6881	2.62***

Parameter	Value	t-statistic
ω const Unconditional variance weight	16.5560	0.65
α ARCH Response to squared shocks	0.0702	3.15***
β GARCH Volatility persistence	0.9597	15.22***
ν DF Student-t tail thickness	2.6881	2.62***

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