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	0.3520	1.07
αARCH	0.2426	0.72
βGARCH	0.5157	1.46
γleverage	-0.1993	-0.53

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3520	1.07
α ARCH Response to squared shocks	0.2426	0.72
β GARCH Volatility persistence	0.5157	1.46
γ leverage Additional response to negative shocks	-0.1993	-0.53

V-Lab

Kaleon SpA GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Kaleon SpA Analyses