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	0.6653	3.53***
αARCH	0.1579	4.66***
βGARCH	0.6801	11.07***

γ₁	-0.3033	-2.01**
γ₂	0.4721	2.30**
γ₃	-0.2727	-2.12**
γ₄	0.0767	0.58
γ₅	0.1119	0.99
γ₆	-0.1367	-1.19
γ₇	0.0534	0.51
γ₈	0.0160	0.22

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6653	3.53***
α ARCH Response to squared shocks	0.1579	4.66***
β GARCH Volatility persistence	0.6801	11.07***

γ₁	-0.3033	-2.01**
γ₂	0.4721	2.30**
γ₃	-0.2727	-2.12**
γ₄	0.0767	0.58
γ₅	0.1119	0.99
γ₆	-0.1367	-1.19
γ₇	0.0534	0.51
γ₈	0.0160	0.22

V-Lab

D.L.S.I. Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other D.L.S.I. Analyses