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	112.3582	1.22
αARCH	0.1135	5.22***
βGARCH	0.8936	10.01***
νDF	2.0163	143.95***

Parameter	Value	t-statistic
ω const Unconditional variance weight	112.3582	1.22
α ARCH Response to squared shocks	0.1135	5.22***
β GARCH Volatility persistence	0.8936	10.01***
ν DF Student-t tail thickness	2.0163	143.95***

V-Lab

D.L.S.I. GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other D.L.S.I. Analyses