CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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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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Param	Value	t-stat
ωconst	9.6464	1.49
αARCH	0.2107	1.73*
βGARCH	0.7348	3.80***
νDF	3.1638	1.52

Parameter	Value	t-statistic
ω const Unconditional variance weight	9.6464	1.49
α ARCH Response to squared shocks	0.2107	1.73*
β GARCH Volatility persistence	0.7348	3.80***
ν DF Student-t tail thickness	3.1638	1.52

V-Lab

Bellini Nautica S P A GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bellini Nautica S P A Analyses