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	9.6477	1.50
αARCH	0.2053	1.70*
βGARCH	0.7327	3.75***
νDF	3.1549	1.48

Parameter	Value	t-statistic
ω const Unconditional variance weight	9.6477	1.50
α ARCH Response to squared shocks	0.2053	1.70*
β GARCH Volatility persistence	0.7327	3.75***
ν DF Student-t tail thickness	3.1549	1.48

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