CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	1.8528	2.18**
αARCH	0.5402	3.78***
βGARCH	0.2113	2.05**

γ₁	30.5950	4.23***
γ₂	-46.8446	-4.63***
γ₃	21.2826	4.48***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8528	2.18**
α ARCH Response to squared shocks	0.5402	3.78***
β GARCH Volatility persistence	0.2113	2.05**

γ₁	30.5950	4.23***
γ₂	-46.8446	-4.63***
γ₃	21.2826	4.48***

V-Lab

Vienna Insurance Group Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Vienna Insurance Group Analyses