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	0.6650	3.52***
αARCH	0.1585	4.67***
βGARCH	0.6797	11.05***

γ₁	-0.3047	-2.02**
γ₂	0.4741	2.30**
γ₃	-0.2735	-2.12**
γ₄	0.0770	0.58
γ₅	0.1107	0.98
γ₆	-0.1342	-1.16
γ₇	0.0513	0.48
γ₈	0.0166	0.22

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6650	3.52***
α ARCH Response to squared shocks	0.1585	4.67***
β GARCH Volatility persistence	0.6797	11.05***

γ₁	-0.3047	-2.02**
γ₂	0.4741	2.30**
γ₃	-0.2735	-2.12**
γ₄	0.0770	0.58
γ₅	0.1107	0.98
γ₆	-0.1342	-1.16
γ₇	0.0513	0.48
γ₈	0.0166	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