CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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{name} Model Equation

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How returns affect tomorrow's illiquidity

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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
mwindow	26
αARCH	0.3655	3.07***
βGARCH	0.1324	1.66*
γleverage	-0.0013	-0.01
λ₁tau intercept	1.5013	0.73
λ₂forecast adj.	0.2262	0.69
λ₃tau persistence	0.5868	1.00

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.3655	3.07***
β GARCH Volatility persistence	0.1324	1.66*
γ leverage Additional response to negative shocks	-0.0013	-0.01
λ₁ tau intercept Baseline long-term coefficient	1.5013	0.73
λ₂ forecast adj. Forecast performance sensitivity	0.2262	0.69
λ₃ tau persistence Long-term factor persistence	0.5868	1.00

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Bellini Nautica S P A MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bellini Nautica S P A Analyses