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
ωconst	1.3718	2.30**
αARCH	0.2396	0.71
βGARCH	0.6054	2.77***
νDF	8.0109	0.19

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3718	2.30**
α ARCH Response to squared shocks	0.2396	0.71
β GARCH Volatility persistence	0.6054	2.77***
ν DF Student-t tail thickness	8.0109	0.19

V-Lab

Kaleon SpA GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Kaleon SpA Analyses