CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How volatility evolves over time

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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
mwindow	71
αARCH	0.1223	2.53**
βGARCH	0.6820	10.19***
γleverage	0.0720	1.22
λ₁tau intercept	0.0630	0.78
λ₂forecast adj.	0.0124	1.10
λ₃tau persistence	0.9734	34.27***

Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.1223	2.53**
β GARCH Volatility persistence	0.6820	10.19***
γ leverage Additional response to negative shocks	0.0720	1.22
λ₁ tau intercept Baseline long-term coefficient	0.0630	0.78
λ₂ forecast adj. Forecast performance sensitivity	0.0124	1.10
λ₃ tau persistence Long-term factor persistence	0.9734	34.27***

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D.L.S.I. MF2-GARCH Volatility Analysis

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Volatility Forecast

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