DAX Volatility Index

CBOE EFA ETF Volatility Index

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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	11.0419	1.71*
αscore	0.1544	5.75***
βpersistence	0.9226	20.71***
νDF	3.2593	3.68***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	11.0419	1.71*
α score Weight on the scaled score	0.1544	5.75***
β persistence Volatility persistence	0.9226	20.71***
ν DF Student-t tail thickness	3.2593	3.68***

V-Lab

Landi Renzo SPA GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Landi Renzo SPA Analyses