CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{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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Param	Value	t-stat
ωlong-run	1.5681	3.38***
αscore	0.2453	0.67
βpersistence	0.4991	1.89*
νDF	11.1090	0.12

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	1.5681	3.38***
α score Weight on the scaled score	0.2453	0.67
β persistence Volatility persistence	0.4991	1.89*
ν DF Student-t tail thickness	11.1090	0.12

V-Lab

Kaleon SpA GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Kaleon SpA Analyses