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
ωconst	0.0320	1.50
αARCH	0.0752	5.31***
βGARCH	0.9799	156.91***
γleverage	-0.0637	-4.97***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0320	1.50
α ARCH Response to squared shocks	0.0752	5.31***
β GARCH Volatility persistence	0.9799	156.91***
γ leverage Additional response to negative shocks	-0.0637	-4.97***

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Date Range:

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