CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How volatility evolves over time

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{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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Parameter	Value	t-statistic
ω const Unconditional variance weight	-0.0091	-0.09
α ARCH Response to squared shocks	0.2071	1.39
β GARCH Volatility persistence	0.7143	2.18**
γ leverage Additional response to negative shocks	0.1435	0.91

V-Lab

Kaleon SpA EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Kaleon SpA Analyses